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Chief Investment Office Risk - Interest Rate Risk Analyst/Associate

Req #: 170115057
Location: Hong Kong, , HK
Job Category: Accounting/Finance/Audit/Risk
Potential Referral Amount: 20000 Hong Kong Dollar (HKD)
 
JP Morgan Chase
 
JPMorgan Chase & Co. (NYSE: JPM) is a leading global financial services firm with operations worldwide. The firm is a leader in investment banking, financial services for consumers and small business, commercial banking, financial transaction processing, and asset management. A component of the Dow Jones Industrial Average, JPMorgan Chase & Co. serves millions of consumers in the United States and many of the world's most prominent corporate, institutional and government clients under its J.P. Morgan and Chase brands. Information about JPMorgan Chase & Co. is available at http://www.jpmorganchase.com/.
 
Business Description

The Chief Investment Office and Corporate Treasury business (CTC) is a global business and cross asset-class manager for JPMorgan Chase (the "Firm") as a whole. Sitting within the Corporate segment of the Firm, CTC manages all of the Firm's structural interest rate and foreign exchange risk, and invests the Firm's capital opportunistically across various market sectors in compliance with local and global regulatory requirements.
 
CTC Risk Description
 
CTC Risk manages the risk of the retained portfolio generated from the Chief Investment Office, Global Treasury, and other Corporate businesses (Firm-wide Pension Plan, Insurance programs, and Mortgage Servicing Rights).  The CTC Chief Risk Officer (CRO) reports to the Firm-wide CRO and is responsible for the end to end risk framework within the CTC Line Of Business; including, but not limited to, Market Risk, Credit Risk, Liquidity Risk, Interest Rate Risk in the Banking Book, Reputation Risk, Country Risk, Principal Risk, and Model Risk. 
 
Function Description
 
The Interest Rate Risk Management (IRRM) function provides risk coverage for the Firm and Line of Business interest rate risk exposure arising from the firm’s traditional banking activities which includes the extension of loans and credit facilities, taking deposits and issuing debt (collectively referred to as ‘non-trading activities’), and also the impact from the CIO investment securities portfolio and other related CIO and Treasury activities. 
IRRM is responsible for but not limited to creating governance over IRR assumptions and parameter selection/calibration, identifying and monitoring interest rate risk and establishing limits. IRR Management is responsible for the oversight of risk management policies which establish requirements to measure monitor and control the firm’s IRR.

Position Description
 
CTC seeks to hire an Analysis to join its APAC IRRM function. The position offers the opportunity to gain insight into how the Firm measure models and manages interest rate risk.  This individual will participate in the ongoing review of modeling assumptions and parameters, and the development of a suite of risk management tools. The team partners with other internal Risk groups, Corporate Treasury and the ALM analytics group to ensure consistency in methodology across products.  In addition, the individual will be responsible for legal entity projects and involved in direct interaction with external regulators to address questions raised during examinations.
 
Job Responsibilities
 
Responsibilities include, but are not limited to
  • Participate in the assessment of IRR process and provide independent oversight of the firm’s adherence to the IRR management framework
  • Participate in the independent review of regulatory and internal stress scenarios; including analytical review of key market and behavioral assumptions
  • Develop a robust Funds Transfer Pricing (FTP) process; establish FTP framework, control and governance
  • Preform ad hoc analysis to understand how FTP influence banking and trading behaviors and understand local liquidity and market limitation that impact FTP
  • Conduct ad hoc risk analysis, improve current risk tools as well develop new ones that will help in the risk monitoring
  • Improve risk transparency, methodologies and reports by conducting deep-dives on various risk topics
  • Interact and partner with Lines of Business and other corporate functions in order to obtain data, understand and analyze potential implications to IRR
  • Contribute to responses on regulatory requests
  • Prepare executive presentations and respond to urgent ad-hoc requests from senior management
Qualifications
  • Good understanding of Asset & Liability Management (ALM), fixed income products and other business/market knowledge
  • Good understanding of regulations, governances and practices in IRRBB
  • Good understanding of the principles and practices in Fund Transfer Pricing (FTP)
  • Experienced in stress testing and scenario construction
  • Excellent analytical and critical thinking skills
  • Excellent oral and written communication skills
  • Eager to learn and able to quickly understand new and complex issue
  • Self-motivated, diligent, strong sense of accountability and good at following up on issues
  • Ability to multi-task, work well under pressure with commitment to deliver under tight time constraints
  • 1-2 years relevant experience in risk management or related areas is a plus
     
Education
An undergraduate degree is required, preferably in finance, mathematics or economics. A professional qualification such as CFA or FRM is a plus.
 
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