Market Risk Governance Lead [Multiple Positions Available]

Duties: Provide quantitative expertise and guidance to Quantitative Research, Policy, and Project Management teams on all matters related to market risk capital calculations.

Provide subject matter expertise on the interpretation of Basel, U.S.

and other global Fundamental Review of the Trading Book (\"FRTB\") regulations and collaborate with the firm's policy team, regulators, and industry forums.

Drive JPMC's Market Risk capital forecasting exercise as part of the regulatory CCAR (Comprehensive Capital Analysis and Review) and internal Risk Appetite exercise, including providing commentaries and presenting to Senior Management.

Partner with stakeholders including Market Risk and Quantitative Research teams to formulate proposals intended to validate policy interpretations on existing and upcoming market risk capital models, and drive these proposals through the Policy governance process, including in large forums.

Perform Model Performance and Model Governance initiatives for JPMC's internal Market Risk VaR and Capital Models.

Analyze model documents and validate against rule frameworks.

Challenge methodologies where required and engage with key stakeholders including Quantitative Research, Market Risk Managers, and Policy to provide remediation.

Provide expertise on the regulatory capital rules to Risk, Finance, and Front Office business-aligned teams.

Support the team in risk management by providing guidance on JPMC's BAU risk metrics including VaR, Stressed VaR, and FRTB Capital, including both Standardized and Internal Models measures.

QUALIFICATIONS:

Minimum education and experience required: Bachelor's degree in Engineering (any), Finance, Mathematics, Risk Management, or related field of study plus 7 years (84 months) of experience in the job offered or as Market Risk Governance Lead, Market Risk Governance Senior Officer, or related occupation.

The employer will alternatively accept a Master's Degree in Engineering (any), Finance, Mathematics, Risk Management, or related field of study plus 5 years (60 months) of experience in the job offered or as Market Risk Governance Lead, Market Risk Governance Senior Officer, or related occupation.

Skills Required: This position requires experience with the following: analyzing and reporting market risk of cross-asset portfolios concepts involved in managing market risk and capital computation for portfolios, including VaR (Value-at-Risk), Market risk sensitivities (Greeks), and Model performance using cross-set techniques including Backtesting and capital forecasting; global Market risk regulatory capital models and frameworks including Basel 2.5, FRTB (Fundamental Review of Trading Book), CRR2 and CRR3 (EU), and Basel 3.1 (UK); utilizing pricing and risk management financial products models to generate actionable insights and commentaries from market risk data, including VaR explains and change commentary, PnL Attribution, FRTB capital explain and attribution; designing and developing Exce...