The Capital Risk Management (CRM) group within CTC Risk is a key component of the Independent Risk Management function, reporting to the CTC Chief Risk Officer (CRO), who also serves as the Firmwide Risk Executive for Capital Risk. CRM is responsible for the independent assessment, measurement, monitoring, and control of capital risk across the firm. The Capital Risk Policy (CRP) team conducts independent assessments of JPMC's regulatory framework to ensure compliance with applicable U.S. Basel rules and relevant regulatory guidance. CRP's assessments are integral to the firm's compliance with the Basel Coordination Committee's Bulletin 13-3, Guidance for Independent Verification of a Banking Organization's Advanced Approaches Systems. CRP's reports are provided to Senior Management, Independent Risk Management, and U.S. regulators.
Job Responsibilities:
- Distill regulatory rules and technical guidance into key requirements for use in assessments.
- Demonstrate experience in one or more of the core regulatory capital Pillar I frameworks: Retail Credit Risk, Wholesale Credit Risk, Counterparty Credit Risk, Market Risk, and Credit Valuation Adjustment (CVA).
- Review model documentation and interview subject matter experts to understand and critically evaluate potential impacts of model limitations, parameter estimation errors, or deviations from model assumptions compare model outputs with empirical evidence and/or outputs from model benchmarks.
- Review Basel capital models, evaluating the conceptual soundness of model specifications, reasonableness of assumptions, reliability of inputs, completeness of testing, robustness of numerical aspects, and suitability and comprehensiveness of performance metrics and risk measures.
- Liaise with businesses, model developers, risk management, finance, technology, and operations to perform assessments.
- Assess compliance with US Basel rule requirements and produce reports for management.
- Exhibit expertise in regulatory policies, particularly with respect to the Basel III final rule and upcoming Basel III Endgame rules, and capital processes.
- Evaluate and challenge the first line's proposals regarding product-specific rule interpretations, ensuring conceptual soundness and adherence to regulatory requirements.
- Engage in comprehensive analyses of product-specific Risk-Weighted Assets (RWA).
- Review internal implementation guidance for various products to assess compliance with applicable rules and regulations.
Required Skills, Experience, and Qualifications:
- Proficiency in model review or model development functions along with understanding of .
- Demonstrated ability to implement Basel rule requirements.
- Excellent analytical and problem-solving abilities.
- Background in risk management with a basic understanding of risk drivers.
- Competence in developing or reviewing at least one of the following models: Basel Capital models, risk models, SA-CCR, SA-CVA, pricing models, or analytics.
- Excellent communication skills, both written and oral.
- Detail-oriented with the ability to work independently.
- Strong capability to navigate complex financial systems and processes.
- Demonstrated ability to prepare clear and concise reports and effectively communicate complex modeling concepts in a simplified manner for senior management.
Preferred Skills, Experience, and Qualifications:
- Knowledge of the upcoming Basel III Endgame proposal.
- Expertise in handling large data sets, empirical studies, data analysis, and statistics.
- Experience in one or more of the following areas: capital policy, risk management, project management, and audit.
