Market risk analyst job description

The Risk System Analyst role supports development of Mortgage Risk Modeling & Valuation capabilities for Citizen’s Home Mortgage Capital Markets group. The analyst will collaborate with hedging, pricing and pooling teams to provide analytics to improve transparency and accuracy of pipeline management reporting and work with business team to continually optimize model performance and functionality.

In addition, the role will partner with key enterprise stakeholders (Market Risk, Model Validation, Treasury) to enhance measurement and reporting of risk exposures and model performance monitoring metrics.
Qualifications
Qualifications -




Mortgage Capital Markets experience and/or relevant fixed income background in quantitative finance, risk management, or financial analysis.
Undergraduate degree in Finance, Economics, Statistics, or similar field of study.
Strong technology skill set including proficiency with data analytics & automation tools such as Excel VBA and SQL.
Strong analytical and communication skills.




Preferred additional skills




Exposure to valuation and market trading in a Mortgage Banking environment
Knowledge of behavioral and option pricing models used to manage fixed income interest rate risk exposures
Modeling experience using a mortgage risk management framework such as QRM or Compass Analytics







Hours and Work Schedule



Hours per Week: 40



Work Schedule: 8am-5pm



Some job boards have started using jobseeker-reported data to estimate salary ranges for roles. If you apply and qualify for this role, a recruiter will discuss accurate pay guidance.
Why Work for Us
At Citizens, you'll find a customer-centric culture built around helping our customers and giving back to our local communities. When you join our team, you are part of a supportive and collaborative workforce, with access to training and tools to accelerate your potential and maximize your career growth.
Equal Employment Opportunity
Citizens, its parent, subsidiaries, and related companies provide equal employment and advancement opportunities to all colleagues and applicants for employment without regard to age, ancestry, color, citizenship, physical or mental disability or perceived disability, ethnicity, gender, gender identity or expression, genetic information, genetic characteristic, marital or domestic partner status, victim of domestic violence, family status/parenthood, medical condition, military or veteran status, national origin, pregnancy/childbirth/lactation, colleague’s or a dependent’s reproductive health decision making, race, religion, sex, sexual orientation, or any other category protected by federal, state and/or local laws.Equal Employment and Opportunity Employer/Disabled/Veteran
Citizens is a brand name of Citizens Bank, N.A. and each of its respective affiliates.

The Market Risk Quantitative Research (MRQR) is an expert quantitative risk team within global Market Risk and Quantitative Research organizations. MRQR Analytics team is specifically responsible for the execution framework of the risk management, in particular VaR, Stress and Regulatory Capital across all lines of trading businesses globally.

This includes responsibility for developing core framework of the risk management system, employing cutting edge programming technologies, using quantitative models, and delivering end-to-end solutions utilizing this framework. The team works closely with Market Risk Technology and Coverage teams, Product Specialists and Front Office Quants.

As part of the firm's effort to enhance the strategic risk framework there is an important requirement to build robust risk management system, and hence a need to create advanced solutions involving significant research, development and implementation efforts.

We are looking for a professional with strong programming expertise. Having quantitative and financial markets knowledge or statistical and machine learning modelling expertise is a plus. Solid analytical skills, good communications, being able to work well independently or as part of team are critical for this role.
Core responsibilities:


Actively participate in delivery of end-to-end solutions for calculation of VaR, Stress and Regulatory Capital (FRTB SA and IMA). Employing various technologies and Python language coding, design efficient solutions for market risk management. Implement new and maintain existing components of the analytics framework written in Python. Create unit testing and end-to-end implementation and regression testing. Provide support and assistance to broader MRQR, Technology and Market Risk Coverage teams.

Liaise and collaborate with various functions such as Market Risk Coverage and Technology, Product Specialists and Front Office QR.


Essential skills, experience, and qualifications
:

PhD/MSc/BSc or equivalent degree in Computer Science, Engineering, Maths, Physics, Finance. Programming experience, specifically in Python, including Pandas, Numpy. Ability to perform code optimisation, debugging and reverse engineering. Familiarity with software design patterns. Strong analytical and problem solving abilities.

Solid verbal and written communication skills.


Desirable skills, experience, and qualifications:


Experience with high performance computing, big data (e.g. Spark/Hadoop) and storage (e.g. HDFS, S3). Knowledge of financial products, including good understanding of derivatives valuation models. Knowledge of statistics and quantitative risk modelling: VaR, risk capital models, stress methodology. Experience in machine learning and data visualization.


JPMorgan Chase & Co., one of the oldest financial institutions, offers innovative financial solutions to millions of consumers, small businesses and many of the world's most prominent corporate, institutional and government clients under the J.P. Morgan and Chase brands. Our history spans over 200 years and today we are a leader in investment banking, consumer and small business banking, commercial banking, financial transaction processing and asset management.

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.

The health and safety of our colleagues, candidates, clients and communities has been a top priority in light of the COVID-19 pandemic. JPMorgan Chase was awarded the "WELL Health-Safety Rating" for all of our 6,200 locations globally based on our operational policies, maintenance protocols, stakeholder engagement and emergency plans to address a post-COVID-19 environment.

As a part of our commitment to health and safety, we have implemented various COVID-related health and safety requirements for our workforce. Employees are expected to follow the Firm's current COVID-19 or other infectious disease health and safety requirements, including local requirements. Requirements include sharing information including your vaccine card in the firm's vaccine record tool, and may include mask wearing. Requirements may change in the future with the evolving public health landscape. JPMorgan Chase will consider accommodation requests as required by applicable law.

Equal Opportunity Employer/Disability/Veterans

Want to build a stronger, more sustainable future and cultivate your career? Join Cargill's global team of 155,000 employees who use new technologies, dynamic insights and over 154 years of experience to connect farmers with markets, customers with ingredients, and people and animals with the food they need to thrive.
Job Purpose and Impact

The Market Risk Analyst will identify, assess, and mitigate market risk. In this role, you will establish risk management procedures and processes to ensure adherence to policies and you will identify potential loss due to market movements. You will also participate in projects to advance the current risk models and risk tools used in the risk management group. In addition, you will work in a fast-paced trading environment and interact with other teams and stakeholders across the globe.

Key Accountabilities

* Develop and enhance risk models and risk tools to enable more advanced analysis of risk positions and support the proactive identification and assessment of risk positions.
* Conduct market analysis to identify and assess market risk requiring a deep understanding of market concepts and a thorough knowledge of financial risk, including market liquidity and volatility, pricing, trading and hedging strategies.
* Estimate the potential financial consequences of an occurring loss using standard metrics such as Value-at-Risk (VaR) and stress.
* Prepare, review and disseminate risk reports and related analytics.
* Support risk managers and the enterprise risk lead in the performance of ad hoc analysis to enable the proactive assessment of risk and communicating to stakeholders.
* Participate in broader risk management group wide and the company wide quantitative initiatives and build collaborative relationship across different geographies with colleagues and stakeholders across the various trading hubs.
* Independently handle complex issues with minimal supervision, while escalating only the most complex issues to appropriate staff.
* Other duties as assigned.

Qualifications

Minimum Qualifications

* Bachelor's degree in a related field or equivalent experience
* Minimum of four years of related work experience

Preferred Qualifications

* Deep understanding of market risk concepts.
* Experience building dashboards in Power BI or Tableau.
* Proficient in a programming language.
* Experience in a trading environment analyzing and/or trading in financial markets.

Position Information

* This position is posted internally as well as externally.
* Relocation assistance will not be provided for this position.
* Location: Minneapolis.

Cargill highly encourages vaccinations but does not mandate at this time. Upon hire, you will be asked to provide your vaccination status, and if unvaccinated or if you choose not to disclose, you would be expected to follow Cargill's safety protocols for unvaccinated employees (i.e., mask mandates, and social distancing).

Equal Opportunity Employer, including Disability/Vet.