CIB QR – Quantitative Research, Market Risk – Associate - J.P. Morgan - London

Job description

JP Morgan Chase

JPMorgan Chase & Co. (NYSE: JPM) is a leading global financial services firm with operations worldwide. The firm is a leader in investment banking, financial services for consumers and small business, commercial banking, financial transaction processing, and asset management. A component of the Dow Jones Industrial Average, JPMorgan Chase & Co. serves millions of consumers in the United States and many of the world's most prominent corporate, institutional and government clients under its J.P. Morgan and Chase brands. Information about JPMorgan Chase & Co. is available at http://www.jpmorganchase.com/ .

Our Firmwide Risk Function

Our Firmwide Risk function is focused on cultivating a stronger, unified culture that embraces a sense of personal accountability for developing the highest corporate standards in governance and controls across the firm. Business priorities are built around the need to strengthen and guard the firm from the many risks we face, financial rigor, risk discipline, fostering a transparent culture and doing the right thing in every situation. We are equally focused on nurturing talent, respecting the diverse experiences that our team of Risk professionals bring and embracing an inclusive environment.

Job summary:

The Equities Market Risk Quantitative team sits within Quantitative Research. This team is responsible for the quantitative framework of the risk management (in particular VaR) and regulatory capital of the Global Equities and Equity Finance business. This includes responsibility for methodology, model development, the testing and implementation of analytics used to monitor and analyse the performance of the framework. It works also closely with other Quantitative Research team members, coverage teams (Trading and Market Risk), Technology and Model Risk teams.

As part of the firm’s effort to build the next generation strategic risk system there is a strong requirement for new model development, involving significant research and development, and implementation in python. We are looking for a quantitative associate for a versatile role which mixes derivatives quant skills with statistical modelling. Derivatives pricing knowledge, strong coding skills and good communication, being able to work well both independently and as part of team are critical for this role

Core responsibilities:

· Carry out research projects in order to define methodologies and improve Market Risk and regulatory capital framework.
· Implementation of new models including maintenance of the existing code base
· Provide a quantitative support to the users (trading, market risks coverage teams).
· Liaise with various functions such as Market Risk Technology, Market Risk Coverage, Market Risk VAR Modelers, Quantitative Research and Model Risk. Experience:

· PhD/Masters or equivalent degree in Maths, Physics, Math Finance or Engineering
· Substantial Python or C/C++ programming experience.
· Strong analytical and problem solving abilities.
· Excellent communication skills, both verbal and written.
· Good understanding of derivatives valuation models.
· Equity derivative pricing, probability theory, stochastic process, partial differential equations, numerical analysis, statistics, time series analysis
· Knowledge of quantitative risk modelling; VaR, risk capital models, stress methodology
· Model development or model validation experience

About J.P. Morgan’s Corporate & Investment Bank:

J.P. Morgan’s Corporate & Investment Bank is a global leader across banking, markets and investor services. The world’s most important corporations, governments and institutions entrust us with their business in more than 100 countries. With $18 trillion of assets under custody and $393 billion in deposits, the Corporate & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world. Further information about J.P. Morgan is available at www.jpmorgan.com .

JPMorgan Chase & Co. offers an exceptional benefits program and a highly competitive compensation package. JPMorgan Chase & Co. is an Equal Opportunity Employer.