Analyst ALM Risk GMG

Job Description

• Managing structural interest rate risk arising from asset-liability mismatch(ALM) through investment securities and interest rate derivatives
• Identify, analyze and assess the impact of specific market events or trends on the current and projected balance sheet and income statement of the Bank
• Assisting the development of the global Net Interest Income (NII) strategy and NII optimization for CIO and Treasury
• Keeping close track of JPM s interest rate risk profile and effects of current and forecast macroeconomic trends on IRR profile
• Monitoring Economic (EVE & DoE) and Earnings based measures(EaR) for Interest Rate Risk in Banking Book (IRRBB)
• Identify, assess and monitor liquidity risks related to the Firm s business activities including banking (deposits, loans, commitments, etc.) and non-banking balance sheet (unsecured funding, secured funding, lending, prime brokerage, derivatives, etc.)
• Analyze sources and uses of liquidity on a firm wide and legal entity level, including understanding firm s businesses and products
• Deep dive on specific Legal-Entity/Line-of-business/specific-product/market-moves to analyze potential risks
• Perform Regulatory Recovery & Resolution and Volcker related review on JPM Legal-Entities/Line-of-Businesses
• Conduct reviews of the regulatory requirements for the Liquidity Coverage Ratio and Net Stable Funding Ratio
• Develop and implement liquidity risk governance policies and procedures, with a focus on liquidity risk stress testing, scenario design, and liquidity risk measurement
• Contribute to the definition of risk policies, procedures and overall governance, in order to efficiently manage the risks, both in business-as-usual and in stressed conditions
• Provide independent review of regulatory and internal stress scenarios, including analytical review of key market and behavioral assumptions and management of ad hoc analysis
• Carrying out in-depth analysis and creating presentations for senior management, Directors Risk Policy Committee(DRPC) and Asset-Liability Committee(ALCO)
• Monitor on regular basis existing FTP framework
• Oversee the monitoring and evaluation of existing risk limits
• Support efforts around development and execution of stress and back-testing processes
• Assist with regulatory requests regarding model updates/migrations
• Regular contact and exchange with other departments (i.e. within CTC Risk), other LOB s and stakeholder management

Education

• An excellent academic record and Masters Degree in Business-Administration / Economics / Finance / Mathematics / Engineering (or CA) from a reputed institute are required
• Certifications in related quantitative field (CFA/FRM/other) is preferred.

Skills Required:

• Understanding of balance sheet analysis, especially for Banks for traditional banking and complex non-banking products, preferred
• Understanding of Liquidity norms and requirements under Basel III requirements preferred
• Experience in Liquidity Risk management with a wide range of experience with quantitative, financial and risk management techniques & systems preferred
• Strong understanding of Bank s B/S items, mortgage markets and central banks monetary policy actions; required to follow market news, macroeconomic and political developments and asset prices closely to be able to recommend strategic and tactical investment avenues across asset classes and geographies
• confidence to challenge portfolio managers market positions and views
• Understanding of financial instruments at various levels in the capital structure
• Understanding of the governance and controls surrounding risk monitoring including, VaR, stress testing, various return measures and experience with stress construction
• Excellent oral and written communication skills
• Demonstrated ability to work effectively and independently across different businesses and functional areas
• Ability to work under pressure
• Strong technical skills in Excel, PowerPoint, VBA and Bloomberg

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Keyskills :
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