Quant Interest Rate Risk - Senior Associate

JPMorganChase; New York (NY); On-site; USD 140,000 - 190,000; Full time

Job summary

Chase is seeking a Global Finance and Business Management Manager within the Structural Interest Rate Risk Analytics (SIRRA) team to analyze, improve, and manage interest rate risk and transfer pricing across CCB's balance sheet, including deposits, home lending, auto lending, credit cards, and business loans.

As a key member, you will apply treasury principles to balance sheet analytics and communicate recommendations to executives.

Qualifications

• 2+ years of full-time work experience with finance exposure.
• Bachelor's/Master’s degree in a quantitative or related field.
• Proficiency in Python or other scripting language (R, MATLAB, VBA).
• Proficiency in 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 to corporate finance.
• Effective written and verbal communication.

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.
• Maintain awareness of market developments and macroeconomic conditions to help navigate 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 governance enhancements.
• Leverage advanced Python skills to design and execute quantitative analyses.
• Collaborate with cross-functional teams to embed IRR analytics into 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.

Skills

Python

Excel

PowerPoint

SQL

Tableau

Econometrics

Data Analysis

Communication

Education

Bachelor's/Master’s degree in quantitative field

Tools

Git

Tableau

VBA

Job description

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 in SQL and Tableau


• Progress towards CFA or FRM


• Experience with version control (e.g. GitHub, Bitbucket)

ABOUT US

Chase is a leading financial services firm, helping nearly half of America's households and small businesses achieve their financial goals through a broad range of financial products. Our mission is to create engaged, lifelong relationships and put our customers at the heart of everything we do. We also help small businesses, nonprofits and cities grow, delivering solutions to solve all their financial needs.

We offer a competitive total rewards package including base salary determined based on the role, experience, skill set and location. Those in eligible roles may receive commission-based pay and/or discretionary incentive compensation, paid in the form of cash and/or forfeitable equity, awarded in recognition of individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more. Additional details about total compensation and benefits will be provided during the hiring process.

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. We also make reasonable accommodations for applicants' and employees' religious practices and beliefs, as well as mental health or physical disability needs. Visit our FAQs for more information about requesting an accommodation.

Equal Opportunity Employer/Disability/Veterans

About The Team

Our Consumer & Community Banking division serves our Chase customers through a range of financial services, including personal banking, credit cards, mortgages, auto financing, investment advice, small business loans and payment processing. We're proud to lead the U.S. in credit card sales and deposit growth and have the most-used digital solutions – all while ranking first in customer satisfaction.

Global Finance & Business Management works to strategically manage capital, drive growth and efficiencies, maintain financial reporting and proactively manage risk. By providing information, analysis and recommendations to improve results and drive decisions, teams ensure the company can navigate all types of market conditions while protecting our fortress balance sheet.