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Liquidity Risk Lead - Vice President
lead · Risk & Compliance
Join our Liquidity Risk team and help oversee the risks that shape the Firm’s balance sheet, liquidity profile and interest rate exposure.
Job summary
As a Liquidity Risk Lead in the Chief Investment Office , Treasury and Corporate (CTC) Risk team, you will support Asset and Liquidity Management Risk Oversight across APAC locations. You will get an opportunity to gain insight into how the Firm measures and models liquidity risk and interest rate risk in the balance sheet.
Job responsibilities
- Assess 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
- Assist in the development of Net Interest Income (NII) strategy and NII optimization for CIO and Treasury
- Track JPM’s interest rate risk profile and effects of current and forecast macroeconomic trends on IRR profile
- Monitor Economic (EVE) and Earnings based measures (EaR) for 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
- Conduct deep dive reviews 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
- Oversee the monitoring and evaluation of existing risk limits
- Provide independent review of regulatory and internal stress scenarios, including analytical review of key market and behavioral assumptions and management of ad hoc analysis; support the development and execution of stress and back-testing processes
- Carry out in-depth analysis and create presentations for senior management meetings and Asset-Liability Committee (ALCO)
- Monitor on regular basis existing FTP framework
- Assist with regulatory requests regarding model updates/migrations
- Partner with other departments (i.e. within CTC Risk), other LOB’s to support consistent risk oversight and stakeholder engagement.
Required qualifications, capabilities, and skills
- An excellent academic record and Masters Degree in Business Administration / Economics / Finance / Mathematics / Engineering (or CA) from a reputed institute are required
- Understanding of regulations, governances and practices in interest rate risk in the banking book (IRRBB)
- Strong understanding of Bank’s B/S items, 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, EaR, EVS, 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
Preferred qualifications, capabilities, and skills
- CFA, FRM or other relevant quantitative, finance or risk certification is preferred
- Strong understanding of balance sheet analysis and Fund Transfer Pricing (FTP) analysis especially for Banks for traditional banking and complex non-banking products is preferred
- Understanding of Liquidity norms and requirements under Basel III requirements is preferred
- Experience in Liquidity Risk management with a wide range of experience with quantitative, financial and risk management techniques & systems is preferred