Market Risk Quantitative Research - Analytics - Associate / VP at JPMorgan Chase Bank, N.A. in New York, New York

Job Description:

The Market Risk Quantitative Research (MRQR) is an expert quantitative risk modelling team within global Quantitative Research (QR) organization in JP Morgan. MRQR Analytics team is specifically responsible for the quantitative framework of the risk management, in particular VaR, Stress and Regulatory Capital across all lines of trading businesses globally. This includes responsibility for developing analytics framework of the risk management system, employing quantitative models and cutting edge technologies, and delivering end-to-end solutions utilizing this framework. The team works closely with product specialist and front office quants, market risk coverage and technology teams.

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

We are looking for an experienced professional with strong coding abilities, quantitative skills and financial markets knowledge, preferably having statistical and machine learning modelling expertise. Solid analytical skills, good communications, derivatives pricing framework knowledge and 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).
• Employ various technologies and quantitative models, and design efficient numerical algorithms to deliver advanced solutions for market risk management.
• Implement new and maintain existing components of the analytics framework in Python.
• Create unit and end-to-end implementation testing.
• Provide support and assistance to peer 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/Masters or equivalent degree in Maths, Physics, Finance, Data Science or Engineering.
• Strong analytical and problem solving abilities.
• Programming experience, specifically in Python, including pandas, numpy.
• Ability to perform code optimisation, debugging and reverse engineering.
• Familiarity with software design patterns.
• Solid verbal and written communication skills.

Desirable skills, experience, and qualifications:

• Familiarity with financial markets, including good understanding of derivatives pricing theory.
• Knowledge of quantitative risk modelling: VaR, risk capital models, stress methodology.
• Expertise in statistics, machine learning and data visualization.
• Experience with high performance computing and big data.
• Quantitative models development or model validation experience.

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.

Equal Opportunity Employer/Disability/Veterans

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