Risk Management-Quantitative Associate- Market Risk Model Development
JPMorganChase
Bring your expertise to JPMorgan Chase. As part of Risk Management and Compliance, you are at the center of keeping JPMorgan Chase strong and resilient. You help the firm grow its business in a responsible way by anticipating new and emerging risks, and using your expert judgement to solve real-world challenges that impact our company, customers and communities. Our culture in Risk Management and Compliance is all about thinking outside the box, challenging the status quo, and striving to be best-in-class.
As a Quantitative Analyst in the Market Risk Model Development team, you will help design and implement models that are critical to the firm’s risk management and regulatory compliance. You will work with a diverse group of colleagues who value your insights and support your growth. Together, we ensure our models meet the highest standards and make a real impact on the business.
Job Responsibilities
- Apply advanced statistical analysis to historical market data to specify and implement mathematical models for Value-at-Risk, regulatory capital, and stress testing of Fixed Income portfolios, with a focus on Securitized Products
- Devise statistical tests to evaluate model performance and quantify the impact of alternative modeling assumptions
- Interpret regulatory pronouncements and translate them into actionable model specifications
- Coordinate model implementation with Front Office model developers and Technology partners
- Explain model behavior to Risk managers, Trading desk personnel, and Regulators
- Establish comprehensive model documentation and liaise with Model Risk Governance and Review for model validation
- Assess model risk issues associated with valuation and risk models, and devise compensating controls when necessary
Required Qualifications, Capabilities, and Skills
- Minimum 3 years of professional experience as a quantitative analyst in model development, model validation, or quantitative risk management for Fixed Income, with a focus on Securitized Products
- Strong foundation in probability theory, time series analysis, and statistics as applied to financial modeling
- Proficiency in computer programming, with experience handling large datasets and using Python tools such as pandas, scipy, sklearn, and Jupyter
- Excellent verbal and written communication skills, with the ability to present complex concepts to both technical and non-technical audiences
Preferred Qualifications, Capabilities, and Skills
- Advanced degree (PhD or Masters) in Engineering, Mathematics, Physics, Finance, Computer Science, or a related field preferred
- Demonstrated curiosity about finance and a research-oriented mindset
- Experience consulting academic literature to solve practical modeling challenges
- Enthusiasm for sharing knowledge and collaborating within a team environment
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.
JPMorgan Chase & Co. is an Equal Opportunity Employer, including Disability/Veterans
J.P. Morgan’s Commercial & Investment Bank is a global leader across banking, markets, securities services and payments. Corporations, governments and institutions throughout the world entrust us with their business in more than 100 countries. The Commercial & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world.
As a member of the Model Development team you will directly shape model development for VaR and other market risk models