Senior Quant IRR Analyst - Balance Sheet Risk

J.P. Morgan; New York (NY); On-site; USD 140,000 - 210,000; Full time

Job summary

Chase seeks 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 balance sheet including deposits, mortgages, cards, and loans.

You will apply treasury principles to balance sheet analytics, synthesize insights, and present recommendations to executives while driving governance and reporting improvements.

Qualifications

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

Responsibilities

• Evaluate IRR and update modeling assumptions across deposits, cards, and mortgage portfolios.
• Manage IRR within the banking book focusing on EIR, duration, and DV01.
• Refine deposit funds transfer pricing for forecasts and stress tests.
• Track market developments to aid ALM and regulatory compliance.
• Perform scenarios and sensitivity analyses to assess risk-return tradeoffs.
• Support governance with adherence to risk limits and policies.
• Leverage Python for quantitative analyses.
• Collaborate across teams to embed IRR analytics in balance sheet management.
• Create reporting solutions for senior management insights.
• Clearly communicate complex concepts to technical and non-technical audiences.

Skills

Python

Excel

PowerPoint

Econometrics

Machine learning

Communication

Independent work

Education

Bachelor's/Master's in a quantitative field

Tools

SQL

Tableau

GitHub

Job description

Chase seeks 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 balance sheet including deposits, mortgages, cards, and loans.

You will apply treasury principles to balance sheet analytics, synthesize insights, and present recommendations to executives while driving governance and reporting improvements.