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CIB – Firmwide Market Risk – Market Risk Stress Testing – New York, Analyst

Req #: 170088212
Location: New York, NY, US
Job Category: Accounting/Finance/Audit/Risk
Potential Referral Amount: 0 US Dollar (USD)
Description of the Market Risk group
 
J.P. Morgan is a leading global financial services firm with assets of $2.1 trillion and operations in more than 60 countries. The firm is a leader in investment banking, financial services for consumers, small business and commercial banking, financial transaction processing, asset management and private equity. Information about J.P. Morgan is available at http://www.jpmorganchase.com/.
 
 
Market Risk is an independent risk group within Corporate Risk Management, reporting to the Firm’s Chief Risk Officer, which identifies, measures, monitors and controls market risk. Market risk management seeks to facilitate efficient risk/return decisions, reduce volatility in operating performance and ensure that the firm's market risk profile is transparent to senior management, the Board of Directors and regulators. Firmwide Market Risk works closely with the Market Risk teams aligned to each Line of Business as well as other partner teams (e.g., Credit Risk, Liquidity Risk, etc.).
 
Description of the Firmwide Market Risk Stress Testing group
 
The group is a part of Market Risk Management and manages Stress Testing for the Firm. Working in close coordination with Market Risk Coverage who is responsible for risk management for the different Lines of Businesses throughout the firm, the Stress team is responsible for: 
 
  • Maintaining and improving the framework for stress testing, which includes defining shocks across asset classes and risk factors, defining macro scenarios, and analysing the results of the analysis versus imposed limits. 
  • Responding to regulatory requests from Federal Reserve Bank (FRB), Office of the Comptroller of the Currency (OCC), Prudential Regulation Authority (PRA) and other Agencies. We are the point of contact for the Market Risk contribution to the Comprehensive Capital Analysis and Review (CCAR), Internal Capital Adequacy Assessment Process (ICAAP) and Risk Appetite of the Firm.
  • Understanding the assumptions made and the limitations of the methodology and improving the process, documentation and controls.
  • Managing the technology that serves as a central repository for stress testing that communicates with systems in each Line of Business.  There is a continuous need to improve the infrastructure as stress testing evolves.
 
Job Description
 
Firmwide Market Risk Stress is seeking an analyst or an associate, based in New York. The position will work on all aspects of stress testing with a focus on strategic projects, stress testing methodology and technology. Examples of responsibilities include:
 
  • Analyzing historical data of different risk factors across a wide range of assets to determine appropriateness of shocks
  • Evaluating the robustness of macro scenarios by analyzing the historical performance and correlation of asset classes
  • Assisting in technological projects
  • Assisting in the Non-Model Estimation Method governance and review
  • Assisting in the methodology and administration of Trading IDL (Incremental Default Loss)
 
During regulatory exams, the position will assist in the analysis, documentation and required presentations, covering all Trading assets that the Firm trades.  Coordination is required with the line of business aligned Market Risk teams and partner groups including Model Review, Risk Reporting, Regulatory Capital Management Office, Quantitative Research, Market Risk Technology and Finance.
 
Skills/Experience Required
 
  • Minimum Bachelor's degree; 1+ year work experience in the financial industry
  • Existing knowledge of financial products and intellectual curiosity
  • Experience in JPM internal systems a plus
  • Excellent data analysis skills and project management skills
  • Strong Microsoft application suite user, especially Excel and VBA
  • Strong written and verbal communications skills.  Must be able to communicate with a wide variety of functional groups
  • Ability to multi-task, work well under pressure with commitment to deliver under tight deadlines
  • Ability to work independently with high attention to details
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