Credit Portfolio Group - XVA Pricing & Capital Solutions EMEA - Analyst
The group manages both the credit and funding risks around derivative counterparty transactions; and ensures the efficient utilization of assets in collateral agreements with derivative counterparties. CPG also works with key stakeholders to facilitate the efficient use of capital, particularly those components of total capital most related to CPG activities.
XVA Pricing & Capital Solutions (XPCS) forms part of CPG. The group acts as a general centre of expertise around derivatives and securities; and has a broad solutions and advisory mandate working closely with: Sales, XVA Trading (XVAT), LOB Trading, Credit Risk, Market Risk, Quantitative Research (QR) and Reg Policy assisting with exposure and capital models, and pricing the appropriate XVA.
The XPCS group's responsibilities include:
1. Analysing, modelling and pricing material deals as part of trade execution;
2. Helping determine the XVA (credit, funding and capital implications/pricing) for credit intensive, or complex, bilateral derivative transactions. This ensures proper handoff to XVAT or to the various self-insured trading desks for ongoing management of these risks;
3. Supporting the structuring of transactions to enable a sensible risk/reward evaluation;
4. Covering exposure analysis on traditional credit products (repos, loans etc), including more exotic structures around these;
5. Development of new risk measurement tools in partnership with Quantitative Research, and improving the bank's derivatives infrastructure.
Description of the role
The open position is for an Analyst or Associate who will cover markets and products within the region, developing close relationships with Sales and Trading.
The role includes building a strong understanding of the bank's derivative exposure methodology and full proficiency in the various modelling tools.
In addition to raw metrics, helping to shape the more qualitative risk considerations are an essential part of the role.
Strong partnership and communication skills: Must be able to explain technical concepts to non-specialists and be able to articulate a view, both clearly and logically.
Credibility, influencing skills and leadership: Must be confident, have a commercial acumen weighing up risk/return, and be able to make a sound risk judgment. Within a reasonable period of time the candidate must have the potential to become relatively self-sufficient.
Derivatives knowledge: A strong all-round knowledge of products traded, ideally spanning derivatives on all the major asset classes and repos. Knowledge of ISDA/CSA documentation including the mechanics of collateral arrangements is desirable.
In addition to knowledge of the products themselves, we are looking for an appreciation of their main risk drivers, including an understanding of the counterparty credit exposure of derivatives.
Strong quantitative skill-set and good breadth of experience: Must be highly numerate, very good with excel, and have around 2 years prior experience of working in a quantitative or analytical role that covered complex structures and their risks. Relevant experience may have been gained in a derivatives pricing area or market/credit risk management for example. Experience of counterparty credit risk, and XVA modelling can be very useful, but is not essential if the candidate demonstrates a well rounded appreciation for risk issues.J.P. Morgan is a global leader in financial services, providing strategic advice and products to the world's most prominent corporations, governments, wealthy individuals and institutional investors. Our first-class business in a first-class way approach to serving clients drives everything we do. We strive to build trusted, long-term partnerships to help our clients achieve their business objectives.
We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. In accordance with applicable law, we make reasonable accommodations for applicants' and employees' religious practices and beliefs, as well as any mental health or physical disability needs.