Oferta pracy

Basel Measurement & Analytics – Market Risk

J.P. Morgan Poland Services sp. z o.o.O firmie

J.P. Morgan Poland Services sp. z o.o.

al. Jana Pawła II 19

Warszawa

Basel Measurement & Analytics – Market RiskNumer ref.: 210011179

Business Description

As a Financial Analysis Vice President within Market Risk BM&A group, you will be responsible for calculation, explain, consolidation and reporting of Market Risk RWA as well as leading the team performing these functions. 

The Basel Measurement & Analytics (BM&A) group within Treasury & CIO is responsible for calculating, analysing and reporting firm-wide RWA for market risk, credit risk and the related capital ratios. The results are provided to the corporate financial reporting teams and the Line of Business Finance/Treasury teams. BM&A is responsible for managing the calculation infrastructure and ensuring compliance with internal capital policy and guidance as well as translating new rules and policy decisions into business requirements for implementation. In addition, BM&A supports ancillary activities to perform impact analysis on methodology changes driven by new rule proposals, support RWA component of CCAR, Resolution & Recovery, Pillar 3 Disclosure, and Quantitative Impact Studies (QIS) for regulatory agencies. 

Role Description

The Market Risk team within BM&A is responsible for implementation, calculation, analysis, and reporting with respect to the Basel Market Risk Rules.  Market Risk Capital (MRC) and the calculated RWA rely heavily on internal risk models developed by Market Risk Quantitative Research (MRQR) based on the Basel rule requirements.  Specifically, the team is responsible for understanding the methodologies used for Value at Risk (VaR), Stress VaR, Internal Model Specific Risk (SR), Incremental Risk Charge (IRC), Comprehensive Risk Measure (CRM) and Standardized Specific Risk.  The team works closely with Capital Policy & Oversight (CP&O) on rule interpretation and interfaces with Market Risk Coverage, Market Risk Basel Group (MRBG) Market Risk Middle Office (MRMO), LOB business partners and other groups to manage the controls and explain the capital measures.  

The candidate’s responsibilities include the calculation, explain, consolidation and reporting of Market Risk RWA as well as leading the team performing these functions.  The candidate will be working closely with multiple teams and business partners to perform his/her duties and provide support to senior management.  

Responsibilities:

  • Verify, analyse and explain the inputs and output of RWA calculations
  • Provide RWA for quarterly Financial Reporting, CCAR and Resolution & Recovery
  • Manage junior team members and provide appropriate coaching, training and development support
  • Represent Market Risk BM&A in the relevant regulatory and management forums
  • Manage calculation infrastructure and ensure compliance with rules
  • Translate new rules and policy decisions into business requirements for implementation
  • Perform impact analysis on methodology and rule changes and ad-hoc queries
  • Assess and update operational procedures, controls and process flows as appropriate
  • Identify operational risks and work towards streamlining and improving process efficiency and controls

Qualification:

  • Degree in a Finance, Economics, Statistics, Engineering, Computer Science or related field; advanced degree a plus; FRM certification a plus; knowledge of Market Risk Rules a plus
  • 8+ years’ experience in Finance, Risk Management, or related field
  • Product Control, Valuation, or Market Risk related experience preferred
  • Must have advanced knowledge of derivative products across one or more asset classes (Credit Derivatives preferred)
  • Must have experience directly managing a small team
  • Successfully partnering with technology and business to define requirements and drive issue resolution
  • Experience with working in a highly regulated environment and identifying, performing, and documenting controls and governance processes
  • Prior experience in analysing and investigating the output of risk or pricing models on a daily basis
  • Experience supporting large initiatives across multiple functional groups
  • Comfortable with handling large datasets; Strong Excel skills; Tableau & Alteryx experience a plus

Skills:

  • Ability to manage, develop and influence people
  • Strong analytical, critical thinking, and problem solving skills with a track record of execution against deliverables; including the ability to take ownership and work independently while contributing to the broader team
  • Self-motivated team-player. Must possess the ability to research and resolve issues independently while working across teams to acquire needed information
  • Excellent communication skills (both verbal and written)
  • Superior attention to detail and process-orientation
  • Ability to synthesize and analyse large amounts of data to ascertain key facts and trends
  • Strong organizational skills and an understanding of process controls and reporting
  • Ability to work well under pressure, manage tight deadlines and balance multiple priorities

About J.P. Morgan

J.P. Morgan is a global leader in financial services, providing strategic advice and products to the world’s most prominent corporations, governments, wealthy individuals and institutional investors. Our first-class business in a first-class way approach to serving clients drives everything we do. We strive to build trusted, long-term partnerships to help our clients achieve their business objectives.

We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. In accordance with applicable law, we make reasonable accommodations for applicants’ and employees’ religious practices and beliefs, as well as any mental health or physical disability needs.

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