Counterparty Credit Infrastructure and Capital (CCIC) is a global private side group with a presence in London, New York and Asia, and is part of Credit Risk. CCIC has a wide range of responsibilities across traded products, stress testing, counterparty credit risk infrastructure and advanced capital modelling. The functions most relevant to this opening include:
Advanced Basel capital model (IMM) approval and implementation for Counterparty Credit Risk (CCR) RWA for EMEA legal entities;
Provision of interpretative and implementation guidance for capital rules around CCR to internal stakeholders including Legal Entity Risk Managers (LERM), Legal Entity Controllers (LEC) and the Regulatory Capital Management Office (RCMO);
Oversight of the Basel capital production and control framework for CCR with particular focus on exposure metrics (EE, EEPE, EAD); explain analytics;
Ownership of quantitative input into regulatory deliverables for EMEA Credit Risk e.g. ICAAP, Solvent Wind Down, Resolution plans. Scenario design, implementation and execution for various stress and reverse stress testing requirements;
Industry advocacy on capital rule enhancements/changes e.g. SA-CCR; contribution to regulatory QIS
CCIC works closely with Credit Officers, LERMs, UK Finance, Prudential Policy, RCMO and CPG on an ongoing basis. The team also has a significant amount of interaction with regulators for the various advanced capital model applications and in episodic supervisory reviews.
The position is for a Vice President in the EMEA Capital team within CCIC. This team are the Basel capital (IMM) subject matter experts within EMEA Credit Risk.
The CAPIMM project is the formal application to the PRA for waiver permission to use internal models for the calculation of CCR capital for JPMS plc. Currently JPMS plc calculates CCR capital under Standardised Basel rules (CEM) which are highly conservative. Obtaining IMM approval is one of JPM’s highest priority projects in Europe given it will permit JPMS plc to use the Advanced method of calculation which is critical for continued business migration as required by both regulation and the EMEA LE strategy. A parallel application to EU regulators is also underway for the post-Brexit, EU client-facing entity.
IMM approval requirements are extremely stringent, requiring not just an assessment of the quality of the end-to-end modelled numbers, but also ensuring that regulators have the highest confidence in JPM’s overall credit risk management, governance, controls, systems and infrastructure. The PRA’s review is ongoing and CCIC are the primary interface on the CCR aspects of IMM, working closely with UK Finance, Reg Policy and Basel Measurement & Analytics (BM&A) to provide ongoing oversight of the production and control environment for CCR RWA under IMM.
Product: The candidate must be highly numerate and should be comfortable with derivative exposure metrics (Peak, DRE, EE, EEPE, EAD) and the associated regulatory rules. An ability to review regulation and regulatory requirements and to translate them into actionable deliverables for Credit Risk is key. This requires an understanding of risk management methodologies, particularly stress testing, and also an appreciation of the evolving regulatory landscape, complex internal legal entity frameworks and of the regulatory capital requirements for derivatives as prescribed by Basel and implemented in Europe via CRR/CRD IV.
Communication: Strong communication skills are critical for this role as the candidate will have significant exposure to all levels of the Risk organisation and, externally, to the regulators and industry bodies such as ISDA. An ability to be clear, concise, logical and thorough in articulating processes, methodologies and general governance will be crucial. There will also be a requirement to adjust the style as appropriate, for example to probe regulators for additional guidance/information as required. The candidate must be able to communicate on the technical aspects of derivative products and how they are captured within the Gauss infrastructure and articulate how JPM meets minimum regulatory standards, potentially in the face of some challenge from time to time.
Work style: The candidate must possess a strong risk and control mindset, have demonstrable partnership skills and be able to work across Risk; be very detailed oriented but also able to deliver on multiple time sensitive timelines. In addition, the candidate must be able to work independently.
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.