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CTC Risk - IRRBB (Interest Rate Risk in the Banking Book) - Analyst

6.00 to 11.00 Years   Mumbai City   30 Dec, 2021
JPMorgan
Job LocationMumbai City
EducationNot Mentioned
SalaryNot Disclosed
IndustryBanking / Financial Services
Functional AreaFinance / Accounts / Tax
EmploymentTypeFull-time

Job Description

CTC DescriptionThe Firm s Corporate Treasury function and the Chief Investment Office (together referred to as Treasury/CIO ) manage the Firm s balance sheet. This includes activities such as:

  • Deploying the Firm s excess liquidity
  • Managing the Firm s funding and liabilities
  • Managing the Firm s structural interest rate and foreign exchange risk
  • Managing the Firm s liquidity risk and its regulatory compliance.
Function DescriptionCTC Risk seeks to hire a risk manager to join its Interest Rate Risk and FTP Risk Management (IRRM) function. This 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. This function also provides Risk Management Oversight on the Firm s Funds Transfer Pricing (FTP) framework including Base FTP, Liquidity Premium and Resource Allocation.Key responsibilities include:Risk Coverage
  • Primarily responsible for risk coverage (2nd line of defense) for structural interest rate risk (also known as IRRBB / Interest Rate Risk in the Banking Book) originating from Line of businesses (LOB) and Funds Transfer Pricing (FTP), both domestically and internationally
  • Ongoing monitoring, forward-looking analysis and strategic risk management for key measures of Interest Rate Risk such as Basis Point Value (BPV), Earnings at Risk and Economic Stress
  • Perform deep-dives on relevant IRR and FTP topics to support independent risk analysis
  • Participate in governance process for both IRR and Funds Transfer Pricing (FTP) process; including changes in impacting, IRR, base FTP, liquidity premium and resource allocation
  • Regular dialogue with Treasury functions with respect to risk appetite, risk limits
  • Actively contribute and participate in LOB Risk Committees and risk affirmation meetings
  • Generate ad-hoc and periodic analysis covering IRR/FTP trends and impacts from Firm data and markets using data visualization tools
  • Monitoring data output and developing dashboards to proactively identify potential risks or emerging trends and seek to answer unasked questions
  • Can efficiently manipulate data from disparate sources with a keen eye towards automation
  • Develop the data, queries, tables and visualizations that deliver insight both as an individual contributor and in collaboration with wider team Actively involved in the team s innovation agenda
QualificationsThe candidate must be a self starter who is able to work in a fast paced, results driven environment, be confident and have excellent written and verbal communication skills, as this role will have global exposure and responsibility across varying levels of management.
  • An active interest in global markets
  • Understanding of Balance Sheet management, Interest Rate Risk, Funds Transfer Pricing, Liquidity Risk; or Capital Markets trading environment exposure a plus
  • Experience in handling large data sets and creating effective data visualizations
  • Demonstrated ability to distill metrics from data
  • Proven creative problem solving skills
  • Stay abreast of new applications but can recognize and apply the right technologies when the challenge you are solving is less complex
  • A hands on team player who is equally comfortable carrying out detailed analysis on an independent basis or coordinating input from others
  • Comfortable summarizing key information and presenting conclusions to multiple stakeholders
  • Strong technical skills in Excel and Powerpoint; Familiarity with Python a plus
Education: An excellent academic record and Degree in Business-Administration / Economics / Finance / Mathematics / Engineering / Computer Science, Data or Information Science, or related quantitative analytic from a reputed institute is required,

Keyskills :
funds transfer pricingcreative problem solvingbalance sheetliquidity riskrisk managementproblem solvingemerging trendscapital marketscomputer sciencetransfer pricingforeign exchange

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