JPMorgan Chase Corporate Treasury - Asset Liability Management/Interest Rate Risk - Analyst/Associate in New York, New York
The Treasury/Chief Investment Office (T/CIO) is responsible for firmwide asset and liability management, including:
· Aggregating and managing the interest rate risk of the firm’s four main lines of business (LOBs), primarily through a $300 bn global investment securities portfolio
· Managing the firm’s funding and liabilities through $250 bn in long-term debt and other funding sources, and managing nearly $400 bn of short term cash deployment activities
· Aggregating and managing the firm’s liquidity risk, including deploying the firm's excess liquidity, as well as ensuring compliance with both internal and regulatory liquidity requirements
· Aggregating and managing the firm’s structural foreign exchange risk
· Risk managing Mortgage Servicing Rights (MSR) on behalf of the Mortgage Bank
· Managing the $14 bn company-sponsored retirement plan
· Managing the end to end risk-weighted asset (RWA) and capital measurement processes across the firm, ensuring efficient and appropriate management of our capital, and managing the Firmwide Capital Stress Testing process
Because it sits at the very center of the firm, T/CIO directly influences the composition of the firm’s balance sheet as well the activities of its four main LOBs: Asset Management (AM), Commercial Banking (CB), Corporate & Investment Bank (CIB) and Consumer & Community Banking (CCB).
The Analyst/Associate position is part of the ALM Strategy and Analytics Group and will focus on all aspects of interest rate risk management including analytics, strategy and quantitative research. The ideal candidate should have experience in fixed income modeling and interest rate risk management with knowledge of banking products as well as excellent time management and organization skills.
· Advance IRR analytics at the product, LOB and firm level including Earnings-at-Risk, Duration of Equity, Economic Value of Equity, forward and stress market value, advanced scenario analysis and development, partial durations
· Become a product level expert (subject matter expert) with detailed understanding of all aspects of IRR for specific product categories (e.g. wholesale or retail deposits, mortgage, auto, and credit card loans, wholesale funding), including underlying source data analytics/analysis, product attributes and assumptions, valuation models and product balance forecasts
· Use programming skills to investigate and analyze product and firm level IRR metrics
· Develop, improve and implement product level cash flow models
· Partner with IRR reporting and production teams to develop and implement advanced analytics and frameworks for analysis
· Execute on ad-hoc tasks including large quantities of data
· Create and deliver IRR analysis and presentations to senior management and external regulators
· Partner with Model Risk Governance and Review, Internal Audit, Risk Oversight, and Oversight & Control groups
The candidate must be a self-starter who is able to work in a fast paced, results driven environment.
Bachelor or Masters in Finance, Economics or other technical field
Understanding of balance sheet management, interest rate risk, and Funds Transfer Pricing concepts
Strong analytical and quantitative skills, investigative problem-solving, and decision making skills
Strong, clear and concise written and verbal communication skills with ability to prepare executive level presentations
Knowledge of standard financial concepts including present value analysis, financial modeling, and capital markets instruments
An organized self-starter and quick learner with the ability to work under pressure, prioritize multiple tasks, and bring tasks to complete closure
Focused work ethic, good business sense, and demonstrated initiative
Finance, Risk or ALM experience a plus
Strong technical skills, particularly in Excel and PowerPoint
Programming skills (VBA, SQL, Python, Matlab experience)
QRM experience is a plus but not required
JPMorgan Chase is an equal opportunity and affirmative action employer Disability/Veteran.