Quant Interest Rate Risk - Senior Associate

JPMorgan Chase & Co.; New York (NY); On-site; USD 140,000 - 200,000; Full time

Job summary

JPMorgan Chase & Co. in New York is seeking a Global Finance and Business Management Manager to lead the Structural Interest Rate Risk Analytics (SIRRA) efforts within CCB Treasury.

You will analyze, improve, and manage interest rate risk across deposits, loans, and lending products, translating treasury principles into actionable balance sheet insights. You will apply quantitative methods, communicate with executives, and drive governance improvements while leveraging Python for advanced

Qualifications

• 2+ years of full-time work experience in finance (banking, strategy, capital markets, risk management).
• Bachelor’s or Master’s degree in a quantitative field (financial engineering, statistics, applied mathematics, data science, etc.).
• Proficiency in Python or other scripting language (R, MATLAB, VBA).
• Proficiency in Excel and PowerPoint.
• Knowledge of econometrics, machine learning, or related statistical techniques.
• Ability to work independently to deliver analytical solutions.
• Interest in applying quantitative skills to corporate finance and balance sheet risk.
• Effective written and verbal communication skills.

Responsibilities

• Evaluate interest rate risk (IRR) and update modeling assumptions across deposits, cards, and mortgages.
• Manage IRR within the banking book, focusing on Earnings at Risk, duration and DV01.
• Refine deposit funds transfer pricing methodologies for monthly forecasts and stress tests.
• Monitor market developments and macro conditions to support ALM and regulatory requirements.
• Perform scenarios and sensitivity analyses to assess risk-return tradeoffs.
• Ensure adherence to internal risk limits and governance enhancements.
• Leverage Python to design and execute quantitative analyses.
• Collaborate with cross-functional teams to embed risk analytics into balance sheet management.
• Create and improve reporting for senior management.

Skills

Python

Analytical thinking

Communication

Independent work

Quantitative finance

Education

Bachelor’s/Master’s degree in quantitative field

Tools

SQL

Tableau

Git/version control

Excel

Job description

Join the Structural Interest Rate Risk Analytics (SIRRA) team within the Consumer and Community Banking (CCB) Treasury team and drive CCB’s interest rate risk framework.

As a Global Finance and Business Management Manager within the Structural Interest Rate Risk Analytics (SIRRA) team, you will be responsible for analyzing, improving, and managing interest rate risk and transfer pricing across all areas of the Consumer and Community Banking balance sheet, including deposits, home lending, auto lending, credit cards, and business loans. As a member of our team, you will be responsible for applying treasury principles to balance sheet analytics, synthesizing strategic insights, and communicating compelling recommendations to executive stakeholders.

Your analytical expertise and proactive mindset will play a key role in advancing the future of CCB Treasury. Drive meaningful change by utilizing technology and market intelligence to successfully navigate an evolving economic landscape.

Job Responsibilities

• Evaluate interest rate risk (IRR) and update modeling assumptions across deposits, credit cards, and mortgage portfolios
• Manage IRR within the banking book, focusing on indicators such as Earnings at Risk, duration and DV01
• Understand and refine deposit funds transfer pricing methodologies for monthly forecasts and stress testing exercises
• Maintain awareness of market developments and macroeconomic conditions to help the firm navigate asset-liability management (ALM) and regulatory requirements
• Perform in-depth scenarios and sensitivity analysis to assess risk-return tradeoffs
• Ensure adherence to internal risk limits and policies, supporting ongoing enhancements to governance practices
• Leverage advanced Python skills to design and execute quantitative analyses
• Work collaboratively with cross-functional teams to embed interest rate risk analytics into comprehensive balance sheet management
• Create and improve reporting solutions to deliver actionable insights for senior management
• Clearly communicate complex concepts to both technical and non-technical audiences

Required qualifications, capabilities and skills

• 2 plus years of full-time work experience with finance exposure (banking, strategy, capital markets, asset management, or risk management)
• Bachelor’s/Master’s degree in a quantitative or related field required (financial engineering, statistics, applied mathematics, data science, etc.)
• Proficiency in Python or other scripting language (R, MATLAB, VBA, etc.)
• Proficiency use of Excel and PowerPoint
• Knowledge of econometrics, machine learning or other statistical techniques
• Ability to work independently to deliver quality analytical solutions
• Interest in applying quantitative skills in a corporate finance to manage interest rate risk on CCB’s balance sheet
• Effective communication skills, both written and verbal

Preferred qualifications, skills, and capabilities

• Prior exposure in a Treasury/ALM role or familiarity with interest rate risk concepts
• Proficiency inSQL and Tableau
• Progress towards CFA or FRM
• Experience with version control (e.g. GitHub, Bitbucket)