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

CIB QR – Quantitative Research, Market Risk Model Development – Associate

2018-05-22T21:02:08+0000

Job description

This is a model development position within the Market Risk Quantitative Research group with a focus on Market Risk Capital modeling, and other related Capital and Risk analytics (e.g. derivative Greeks, portfolio structure analysis, etc). The role affords the new team member opportunities to gain cross-asset experience in a wide range of business areas and its product and models, while contributing to the model development for business specific as well as bank-wide models.

Core Responsibilities:
·  Developing VaR models for products in the credit, public finance and counterpart risk (CVA) areas.  The responsibilities for VaR model development will include VaR methodologies development, time series selection/data quality checks, implementation, VaR model performance analysis, testing and documentation, etc.
·  Working with model review groups for the questions/issues during the model review
·  BAU supporting for the VaR end users such as market risk management teams

Good communication and writing skills, ability to work in a group

·  Graduate degree in a technical field, such as Math, CS, Physics, or Engineering.
·  Expertise in C++ and/or Python.
·  Strong analytical and problem solving abilities.
·  Probability theory, financial math or stochastic calculus is a plus

 

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.

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