Market Risk Governance Lead [Multiple Positions Available]
JPMorganChase
New York, NY, USA
USD 191,922-238k / year + Equity
Duties: Provide quantitative expertise and guidance to Quantitative Research, Policy, and Project Management teams on all matters related to market risk capital calculations. Provide subject matter expertise on the interpretation of Basel, U.S. and other global Fundamental Review of the Trading Book ("FRTB") regulations and collaborate with the firm's policy team, regulators, and industry forums. Drive JPMC's Market Risk capital forecasting exercise as part of the regulatory CCAR (Comprehensive Capital Analysis and Review) and internal Risk Appetite exercise, including providing commentaries and presenting to Senior Management. Partner with stakeholders including Market Risk and Quantitative Research teams to formulate proposals intended to validate policy interpretations on existing and upcoming market risk capital models, and drive these proposals through the Policy governance process, including in large forums. Perform Model Performance and Model Governance initiatives for JPMC's internal Market Risk VaR and Capital Models. Analyze model documents and validate against rule frameworks. Challenge methodologies where required and engage with key stakeholders including Quantitative Research, Market Risk Managers, and Policy to provide remediation. Provide expertise on the regulatory capital rules to Risk, Finance, and Front Office business-aligned teams. Support the team in risk management by providing guidance on JPMC's BAU risk metrics including VaR, Stressed VaR, and FRTB Capital, including both Standardized and Internal Models measures.
QUALIFICATIONS:
Minimum education and experience required: Bachelor's degree in Engineering (any), Finance, Mathematics, Risk Management, or related field of study plus 7 years (84 months) of experience in the job offered or as Market Risk Governance Lead, Market Risk Governance Senior Officer, or related occupation. The employer will alternatively accept a Master's Degree in Engineering (any), Finance, Mathematics, Risk Management, or related field of study plus 5 years (60 months) of experience in the job offered or as Market Risk Governance Lead, Market Risk Governance Senior Officer, or related occupation.
Skills Required: This position requires experience with the following: analyzing and reporting market risk of cross-asset portfolios concepts involved in managing market risk and capital computation for portfolios, including VaR (Value-at-Risk), Market risk sensitivities (Greeks), and Model performance using cross-set techniques including Backtesting and capital forecasting; global Market risk regulatory capital models and frameworks including Basel 2.5, FRTB (Fundamental Review of Trading Book), CRR2 and CRR3 (EU), and Basel 3.1 (UK); utilizing pricing and risk management financial products models to generate actionable insights and commentaries from market risk data, including VaR explains and change commentary, PnL Attribution, FRTB capital explain and attribution; designing and developing Excel reports and PowerPoint presentations using advanced functionalities including lookup, pivots, data analysis add-ons and results including capital drivers, scenario analysis, and market risk capital forecasting results; using Python with libraries including pandas and numpy to perform data manipulation and data structuring on datasets and generate actionable insights and commentary; managing regulatory deliverables and ongoing implementation of capital and market risk regulatory requirements.
Job Location: 237 Park Ave, New York, NY 10017.
Full-Time. Salary: $191,922 - $238,000 per year.
We offer a competitive total rewards package including base salary determined based on the role, experience, skill set and location. Those in eligible roles may receive commission-based pay and/or discretionary incentive compensation, paid in the form of cash and/or forfeitable equity, awarded in recognition of individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more. Additional details about total compensation and benefits will be provided during the hiring process.
We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. We also make reasonable accommodations for applicants’ and employees’ religious practices and beliefs, as well as mental health or physical disability needs. Visit our FAQs for more information about requesting an accommodation.
JPMorgan Chase & Co. is an Equal Opportunity Employer, including Disability/Veterans
Our professionals in our Corporate Functions cover a diverse range of areas from finance and risk to human resources and marketing. Our corporate teams are an essential part of our company, ensuring that we’re setting our businesses, clients, customers and employees up for success.
Provide quantitative expertise and guidance to Quantitative Research, Policy, and Project Management teams on all matters related to market risk capital calculations.