CIB Risk - QR - Securitized Products Specialist - Associate - NY

Job description

JPMorgan J.P. Morgan is a leading global financial services firm with assets of $2.1 trillion and operations in more than 60 countries. The firm is a leader in investment banking , financial services for consumers, small business and commercial banking, financial transaction processing, asset management and private equity. Information about J.P. Morgan is available at http://www.jpmorganchase.com/ . About J.P. Morgan 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.The Market Risk Quantitative Research Group at JPMorgan Chase is responsible for enhancing the VaR modeling capabilities and process as well as providing quantitative support to Market Risk end-to-end, from methodology to delivery. We partner with desk aligned Quantitative Research, Market Risk Coverage, Technology, Model Risk and Development, and Product Control teams.The Securitized Products Product Specialist Group within Market Risk Quantitative Research focuses on the residential and commercial mortgage-backed securities and loans, as well as auto, credit card, student loan and consumer receivables product set. Primary Functions and Job Responsibilities of This Position Quantitative modeler for Value at Risk (VaR) and Stress VaR for securitized products including US and Non-US RMBS, CMBS and ABS. Member of a team enhancing historical simulation VaR and Stress VaR models and related quantitative tools. Responsibilities include coordinating with the Model Review Group, Market Risk Coverage Team, “Desk Quants,” Risk Middle Office, the Regulatory Capital Management Organization, Front Office, Market Risk Technology and other Senior Managers. Requires very strong quant modeling skills and pragmatic judgment. The candidate must be a good communicator able to maintain strong collaborative relationships across the firm. Responsibilities include: ·Model the profit-and-loss function of securitized products and the statistical properties of the instruments' price drivers for the use in VaR and Stress VaR. ·Document modeling choices and the statistical arguments supporting those choices. ·Develop on-going testing regimens to ensure that the models behave according to expectations through time. ·Engage with Market Risk Coverage, valuation-model developers and the trading desks to understand products and strategies. ·Participate actively in the development of IT applications and the structuring of data to support VaR modeling choices and efficient, pragmatic daily production. ·Develop productive working relationships with other support functions, including Market Risk Coverage, Middle Office, Operations, Compliance, Technology, and Product Control

Desired profile

· Advanced degree in a quantitative field such as Mathematics, Physics, Engineering. · Proficiency in Python and C++ programming preferred. Proficiency in Excel, PowerPoint, VBA programming, SQL expected. · 2+ years of experience in the valuation or risk management of fixed income instruments focused on securitized products or comparably complex instruments. · Strong knowledge of statistics and historical time series analysis. Strong understanding of portfolio modeling methodologies such as VaR and familiarity with their implementation. · Understanding of Profit/Loss explain and attribution processes, as well as the empirical testing of model outcomes. · Understanding of regulatory requirements for Value-at-Risk and model risk management and governance a plus. · Effective interpersonal and verbal/written communication skills. Ability to communicate complex topics concisely and concretely. · Self-starter. Team player. Able to work under pressure, allocate scarce resources and prioritize tasks.JPMorgan Chase is an equal opportunity and affirmative action employer Disability/Veteran.