Basel Measurement Analytics (BM&A) Counterparty Credit Risk – Analyst

The Basel Measurement & Analytics (BM&A) group within CIO is responsible for calculating, analyzing, and reporting firm-wide RWA for market risk, wholesale credit risk and retail risk stripes.  The RWA measures feed into corporate functions to quantify and determine regulatory capital requirements and support external regulatory filings and disclosures.   BM&A is responsible for the business requirements to develop and manage the Basel infrastructure and ensure calculations are in compliance with internal capital policy and guidance. 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.

 

The BM&A Derivatives Team is responsible for assessing regulatory policy, driving enhancements to infrastructure needed to support risk regulatory reporting processes related to Basel methodology, and RWA reporting (specific to derivatives).  The candidate will be responsible for producing RWA related to derivatives exposures under Basel 3 rules, analyzing quarter-over-quarter changes in RWA, working with LOB controllers and credit officers to determine variance drivers such as portfolio changes, policy updates and capital treatment, and generation of external regulatory filing schedules.  The candidate will manage the reporting processes and be owner of data issue identification, tracking, and resolution.

 

Specific responsibilities include:

• Monthly production cycle for RWA calculation and reporting, including Basel 3 Advanced, Basel 3 Standardized, CCP, and Supplementary Leverage Ratio
• Provide analysis in support of RWA trends and forecast-to-actual variances
• Support external regulatory filing deliverables including the FR Y-9C, FFIEC 101 and Pillar 3.
• To perform ad-hoc quantitative impact analysis on the firm’s RWA under Basel rules and regulations based on input parameters or infrastructure changes – specific to Derivatives risk stripe.
• Perform quarterly stress testing to support CCAR, ICAAP and Risk Appetite deliverables.
• To evaluate and manage controls on key processes and functions.
• To prepare objective analysis that provides perspective to senior management to support decision-making on key issues related to regulatory capital.

Qualifications:

• Bachelor’s degree and 1-4 years’ experience in Finance, Risk Management, or related field.
• Experience with Basel Capital Rules is preferred.
• Experience and technical understanding of derivative products.
• Exceptional excel/database/desktop skills.
• Ability to work in pressure-oriented environment and able to handle multiple tasks.
• 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.

Skills:

• Results oriented individual who can execute tasks within aggressive time frame.
• Excellent interpersonal skills necessary to work effectively with colleagues at various levels of the organization.
• Self-motivated team-player.  Must possess the ability to research and resolve issues independently while working across teams to acquire needed information.
• Excellent organization and control focus.
• Superior attention to detail and process-orientation.
• Ability to synthesize and analyze large amounts of data to ascertain key facts and trends.
• Ability to develop strong client relationships and gain consensus on key decisions.

JPMorgan Chase & Co., one of the oldest financial institutions, offers innovative financial solutions to millions of consumers, small businesses and many of the world’s most prominent corporate, institutional and government clients under the J.P. Morgan and Chase brands. Our history spans over 200 years and today we are a leader in investment banking, consumer and small business banking, commercial banking, financial transaction processing and asset management.
We offer a competitive total rewards package including base salary determined based on the role, experience, skill set, and location. For those in eligible roles, we offer discretionary incentive compensation which may be awarded in recognition of firm performance and individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan