Risk - Corporate and Investment Banking - Collateral Risk and Stress Management - Analyst

Job Description

Core Responsibilities:The successful candidate will have to independently manage the following activities:Help Credit Risk and the Investment Bank s Trading, Clearing, and Prime Brokerage businesses manage the contingent market risks facing clients when trading with JP Morgan.Monitoring existing client trading activity, review new client strategies and risk management frameworks, assess the risk of live trades, and monitor the markets.Analyst/Associate will collaborate with the global CRSM team, Market Risk, Model Risk, Quantitative Research, and other subject matter experts at the Firm to define appropriate stress levels and margin methodologies.CRSM attends client calls, due diligence meetings, and regulatory reviews to speak to the firm s internal risk management practices.Credit Support Annex negotiations and handling of all related matters as a support function to our Global team in Tokyo. (engagement with Legal, Sales, Technology and Credit teams)Provide analytical view on applied collateral haircut & work with multiple stakeholders on solving model issues.Analyst/Associate will be exposed to a range of compelling, intricate trading strategies from the world s largest hedge funds; Global Macro, L/S Equities, CTAs, Relative Value, Special Situations, Distressed Credit, Event-Driven, and Volatility Arbitrage.Model performance analysis, Improvement of performance and scalability of analytics algorithms.Liquidity assessment MPOR to compute RWA, cure period of eligible margin lending, Securities Financing, Repo and LARM to determine if collateral meets the liquidity requirement to be eligible ML or Repo transaction.Improve current SIMM (Standard Initial Margin Model) Initial Margin investigation workflow towards a more efficient solution based approach to strategic Front Office systems.Assist on shore team for remediating issues, Adhoc analysis and funding impact studies for SIMM (Standard Initial Margin Model) initial margin.Assist in Crowdsourcing related functions by maintaining a dynamic database daily with control reports to monitor breaks, vote submissions to IBA (ICE Benchmark Association).Communicate with external counterparties for exchange of factual information to reconcile and resolve Initial Margin differences.Enhance and implement robust and efficient procedures for large data collection, analysis, and archiving using data mining tools.Provide the technical support for the firm s collateral liquidity assessment process, haircut calculation process.Manage responses to bespoke client requests on the firm s margin methodologies.Be an expert over a period of time on Collateral Risk Policy, Collateral Risk Standards and Collateral Risk Guidelines.Approve collateral restrictions where appropriate or escalate items to senior members of the team in case risk is identified that require further investigation.Be an expert in the firm s Initial Margin Methodologies to be able to suggest appropriateness of margin or relevant compensating measures.Product Coverage & Portfolio Analysis:Analyst/Associate will primarily be exposed to risk management, involving valuation, stress-testing, modeling, liquidity and contingent market risk analysis for all asset classes and products, with a specific focus on derivatives, margin lending and securities financing (repo/reverse repo).Product coverage includes:o Interest Rates: Interest Rate Swaps, Variable Notional/Amortizing Swaps, Inflation Swaps, Constant Maturity Swaps, Basis Swaps, American, European, and Bermudan Swaptions, Caps/Floors, Listed Derivatives (Futures& Options), Sovereign Bonds. (repo/reverse repo)o Foreign Exchange: FX Spot and Forwards, Vanilla Options, Single and Double Barrier Options, Digital Options, Double-No-Touch (DNT) Options, Listed Derivatives (Futures & Options), Variable Swaps, Volatility Swaps, Correlation Swaps.o Equities: Total Return Swaps (TRS), OTC Options, Listed Derivatives (Futures & Options), Variable Swaps, Volatility Swaps, Volatility Indices (e.g. VIX, VSTOXX). Custom Baskets and Proprietary Indices.o Credit: Single Name Credit Default Swaps (CDS), CDS Indices, CDS Index Options, Structured Finance Indices (e.g. CMBX), Corporate Bonds, Securitized Products and MBS (repo/reverse repo), Recovery Locks, Receivables Puts and TRS, Index CDO Tranches, Bespoke CDO Tranches.o Commodities: Listed Derivatives (Futures & Options), OTC Options, Variance Swaps, Volatility Swaps.Technical Skills Required:Hands-on experience with proven project execution/expertise in C/C++ programming, Python, including experience with numpy and/or pandas, Visual Basic, R.Strong software design skills and implementation skills.Pricing Models Theory or stochastic calculus is an advantage.Skills Required, Experience and Qualifications:Excellent academic background, graduate/post-graduate from a premier college or institute in a technical field, such as Math, Science, Engineering, Statistics or Quant Finance.Attention to detail: thorough and persistent in delivering production quality analytics, ability to ask pertinent questions and escalate issues with a risk mindset.Familiar with Standard Initial Margin Model, VaR, benchmarking exercises, stress testing, backtesting & various return measures in prior roles.Very strong problem solving ability and quantitative aptitude preferred.Strong communication & verbal skills is a must.We encourage professional growth and career development, and offer competitive benefits and compensation. If you re looking to build your career as part of a growing specialized risk function with global footprint, open to challenges & solving complex issues proactively, we want to meet you.,

Keyskills :
total return swapsinterest rate swapssubject matter expertsfixed income derivativesfx spotdata mininghedge fundscredit riskmarket riskfront officevisual basictotal return