EMEA - CIB - Credit Portfolio Group – Capital & Stress Testing - Associate – London

  • Competitive
  • London, England, United Kingdom
  • Permanent, Full time
  • J.P Morgan
  • 27 Sep 16

See job description for details

Credit Portfolio Group

The Corporate & Investment Bank (CIB) Credit Portfolio Group (CPG) is a public-side global function with approximately 50 risk management professionals across New York, London and Singapore and is part of the Risk function in the CIB.

The group’s responsibilities include:

  • Managing the majority of the retained credit risk generated by the client-driven activities of the CIB which covers a portfolio in excess of $250bn across traditional credit products and credit risk associated with derivative counterparty transactions
  • Managing the market risk which arise from counterparty risk in derivative & securities transactions undertaken by the CIB & the Commercial Bank
  • Hedging funding risk and ensuring the efficient utilization of assets in collateral agreements with derivative counterparties
  • Working with stakeholders (such as Lines of Business [LOBs] and the Regulatory Capital Management Office [RCMO]) to facilitate the efficient use of capital, particularly of those components of total capital most related to CPG activities (CVA RWA, Default RWA and TCP RWA)
  • Executing firm-wide regulatory CVA/FVA stress testing including CCAR, ICAAP and Risk Appetite and presenting the results to senior management and regulators
  • Partnering with the Credit organization in overseeing the firm's counterparty credit calculation systems and ensuring that credit risk is properly measured and represented in the risk management systems

CPG is a fully integrated risk management function with primary areas that include Portfolio Management & Research (PM&R – aligned by industry and geography); Credit Portfolio Trading (CPT); and the Regulations, Efficiency and Infrastructure (REI) group.

The priority of the group is to maximize the risk-adjusted return of the portfolio while managing concentrated exposure and balancing the competing goals of minimizing cost, P&L volatility and capital usage.

Description of the role

This role is within the Regulations, Efficiency and Infrastructure (REI) group, a team within CPG that is focused on Risk Weighted Assets (RWA), liquidity, collateral management, stress and infrastructure. A key objective is to grow the JPM franchise profitably given the evolving regulatory requirements.

There are two open positions within the team, one focused on capital (covering RWA analysis, methodology, regulatory policy, hedge optimization and cost transfer) and one focused on stress (executing counterparty credit stress requirements across multiple regulatory and governance frameworks (CCAR, Risk Appetite, ICAAP)).

Primary Responsibilities


  • Understand RWA methodology and models, raise awareness and transparency.

  • Validate Credit RWA results and understand differences compared to economic risk.

  • Drill down into the portfolio at the counterparty and LOB level, to understand the drivers and enable a focused RWA reduction effort.

  • Liaise with stakeholders in CPG, Trading, CCIC, RCMO and Finance to execute a capital management program.

  • Consider the marginal impact of trading decisions on capital costs and assist in defining a pricing framework in light of Basel III and FRTB.

  • Incorporate evolving constraints including Standardized RWA, Leverage, GSIB, Non Cleared Derivatives Margin (NCDM)


  • Assist with project-managing execution of firm-wide CVA/FVA stress testing as part of CCAR, ICAAP and Risk Appetite across AD, QR, Market Risk and VCG

  • Present results and supporting analysis to senior management and regulators in both quantitative and qualitative ways, including intuitive descriptions

  • Validate system-results for stress runs against daily/weekly risk-management metrics used by CPG traders

  • Work with Trading, VCG and Product control, to define and document any necessary adjustments

  • Coordinate with the Market Risk group with respect to scenario definition and result analysis of total scenario P&L (CVA/FVA plus Hedges)

  • Contribute towards the development of processes and controls participate in audit reviews


Skills required

  • Strong communication skills, plus ability to work in partnership with several other groups on a shared agenda

  • Numerical and technical skills at the level of BS (or higher) in Physical Sciences, Maths, Engineering, Economics, or similar

  • Good understanding of fixed-income and derivatives pricing

  • Experience working in, or with, a derivatives business

  • Familiarity with legal documentation in the context of derivatives and/or regulatory rule publications

  • An understanding of counterparty credit risk and CVA modeling would be beneficial

About J.P. Morgan’s Corporate & Investment Bank

J.P. Morgan’s Corporate & Investment Bank is a global leader across banking, markets and investor services. The world’s most important corporations, governments and institutions entrust us with their business in more than 100 countries. With $18 trillion of assets under custody and $393 billion in deposits, the Corporate & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world. Further information about J.P. Morgan is available at www.jpmorgan.com .

JPMorgan Chase & Co. offers an exceptional benefits program and a highly competitive compensation package. JPMorgan Chase & Co. is an Equal Opportunity Employer.

Closing date- 23 September 2016