CIB Risk – FIG Credit Risk – Credit Risk Stress & Margin – Associate – EMEA
Credit Risk Stress & Margin is responsible for risk management of the Futures & Options and Over-The-Counter (F&O and OTC) Global Clearing business as well as the Hedge Fund activities traded across the Bank. The team analyzes the risk associated with counterparty portfolios focused on F&O, Cleared & Intermediated Derivatives, and analyses Hedge Fund Strategies for credit risk management purposes with active discussions with the Lines of Businesses. In addition to stress testing, VaR, scenario analysis and assessment of asset-based risk factors, the team also focuses on non-linearity, large concentrations, tail risk and liquidity of counterparty portfolios. Portfolios are analyzed and evaluated through simulation and analyses are performed to estimate market related risks and help risk managers identify and mitigate them. The team is part of the FIG Credit Risk under Credit Risk Management within the CIB.
The role is based in London. The Global Clearing business provides clearing, intermediation, and execution services for Hedge Funds and other Investor Services clients globally across asset classes. The Hedge Fund Quant part of the role looks at hedge funds strategies (often bespoke transactions) traded bilaterally. The candidate will understand the market risks associated with diverse set of products traded by our clients including Rates, FX, Credit, Commodities and Equities with a special focus on derivatives and exotic transactions.
- Perform research and quantitative analyses on multi asset class portfolios including derivatives such as futures, swaps and options; analyze trading strategies, developing statistical models and perform portfolio simulations
- Develop and implement stress testing framework with a strong understanding of derivatives valuation models, interpretation of risk analyses and communicating key results
- Assist senior management (in CRSM, Credit Risk and the Business) in identifying key issues, making recommendations based on objective risk analysis; creating and updating presentations, analyzing performance and portfolio simulations and presenting analyses in an intuitive manner
- Identify concentrated or concerning risk positions and work with Business and risk partners to ensure they are appropriately managed.
- Lead various projects and technology initiatives while balancing timelines, budgetary constraints and the cost-benefit of near and long-term solutions.
- Monitor key markets and developments to understand impact on portfolios due to market moves and escalate any concerns on a relatively short notice.
- Developing tools and models to monitor risk exposure of each sector and asset class using statistical methods for risk management, with a focus on hedge fund strategies, CTAs and counterparties that trade commodities.
Must Possess The Following
- Bachelor or Master degree in a quantitative discipline such as Financial Engineering, Mathematics, Physics, Statistics, Engineering or Finance/Economics.
- 6+ years’ of experience working at a financial institution in a market, credit risk role, or trading capacity or in a role with a focus on derivatives clearing and F&O exchange traded products.
- Ability to understand derivative financial products (futures, forwards, options and swaps) and various market parameters and conditions affecting these products.
- Strong project management, risk management and quantitative skills.
- Strong verbal and written communication skills to be able to cater to different audiences.
- Ability to understand, and vet model output and stress results.
- Able to synthesize data and information from various sources, summarize and provide decision points for management.
- Ability to work well under tight deadlines in a fast paced work environment.
- Strong Excel skills; Familiarity with Bloomberg/Reuters-Eikon, Business Objects, MS Access
- Master’s degree or CFA or FRM designations are preferred
- Prior experience with a Futures & Option Exchange and/or Derivatives Clearing House
- Experience in risk management including VaR and Stress modeling, scenario analysis, stress testing and some familiarity with Clearing House margin methodologies
- Background in market risk management and / or trading/structuring are a plus.
About J.P. Morgan’s Corporate & Investment Bank
J.P. Morgan’s Corporate & Investment Bank is a global leader across banking, markets and investor services. The world’s most important corporations, governments and institutions entrust us with their business in more than 100 countries. With $18 trillion of assets under custody and $393 billion in deposits, the Corporate & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world. Further information about J.P. Morgan is available at www.jpmorgan.com.
JPMorgan Chase & Co. offers an exceptional benefits program and a highly competitive compensation package. JPMorgan Chase & Co. is an Equal Opportunity Employer.