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CIB – Market Risk Coverage – Model Risk, Credit & Credit Portfolio Group – Assoc/VP

Req #: 180015439
Location: London, ENG, UK
Job Category: Accounting/Finance/Audit/Risk
Job Description:
CIB – Global Market Risk Coverage – Model Risk – CPG and Credit Trading – VP – London
Group Description 
 
CIB Market Risk Management is an independent risk group, reporting to the firm’s Chief Risk Officer (CRO), which identifies, measures, monitors and controls market risk. The group forms the key interface for discussing risk issues with the trading desks but retains independent reporting lines through the Risk management chain.
 
CIB Market Risk performs the following primary functions:
  • Independent ongoing identification, monitoring and control of business unit market risk
  • Performance of stress testing and qualitative risk assessments
  • Analysis of aggregated risks and tail risk exposure
  • Facilitation of efficient risk-return decisions
  • Regular dialogue with the trading businesses with respect to risk appetite, risk limits and individual large and complex transactions.
 Job Description
 
CIB Risk is seeking a Vice President or Senior Associate level professional to join its CIB Market Risk Team focusing on Model Risk, based in London. The role will sit within the Line of Business CPG and will focus on model risk and market risk issues specific to CPG and Credit Trading.
 
This is a new function within Market Risk Coverage, sitting directly with the Credit Portfolio Trading and Market Risk team on the Trading floor. Model Risk is a priority focus for the Risk organization and this new function will play an important and valued role. Models used for risk management often have limitations that affect risk greeks and stresses that are generated by risk management systems. This new function will focus on comprehensively reviewing model limitations, assessing their materiality, recommending compensating controls and further actions. The successful candidate will develop a holistic view of model risk and how best to integrate this across the Market Risk organization.
 
 
Responsibilities include, but are not limited to:
  • Point person for model-related initiatives within Market Risk coverage
  • Work with Model Risk Group (MRG), Quantitative Research (QR), and Model Governance Group (MGG) to review model limitations and estimate their materiality. This will require a review of the population of trades that are impacted by each limitation and a determination of materiality in reference to risk limits and materiality thresholds
  • Recommend compensating controls for model limitations and lead their implementation.  These could include new stress add-ons, new market risk limits, enhancements of risk reporting, hedges by trading to mitigate the shadow risk, and sometimes no further usage of the model
  • Work with the central stress team and Market Risk coverage during CCAR to deliver CCAR stress by model type
  • Participate in the model review cycle including model waiver applications
 Skills/Qualifications
  • Relevant modeling, risk management, valuation, or trading desk support  experience is preferred, particularly in CVA, FVA and Credit Trading
  • Ability to analyze, asses issues and negotiate practical outcomes
  • Good understanding of options pricing or similar financial modeling theory (i.e. quantitative models for pricing and hedging derivatives)
  • Understanding the concept of probability theory, stochastic processes, and numerical analysis are helpful
  • Solid project management skills, ability to gain consensus across varying levels of seniority and ability to drive initiatives to completion effectively is critical.
  • Ability to multi-task, prioritize demands, work well under pressure with tight deadlines, and work independently is important.
  • Knowledge of cross asset trading desk metrics, VaR and Stress concepts is strongly encouraged.
  • Proficiency in Excel and PowerPoint is required.  Knowledge of VBA will be useful.
  • Clear oral and written communication in English is required.
  • Practical mindset is required.
  • Bachelor's degree required.  Advanced degree preferred.
About J.P. Morgan Chase & Co:
 
J.P. Morgan serves one of the largest client franchises in the world. Our clients include corporations, institutional investors, hedge funds, governments and affluent individuals in more than 100 countries. J.P. Morgan is part of JPMorgan Chase & Co. (NYSE: JPM), a leading global financial services firm with assets of $2.1 trillion.  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. A component of the Dow Jones Industrial Average, JPMorgan Chase serves millions of clients and consumers under its JPMorgan and Chase, and WaMu brands.
 
J.P. Morgan offers an exceptional benefits program and a highly competitive compensation package.
J.P. Morgan is an Equal Opportunity Employer
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