Market Risk QR - Associate

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.

Quantitative Research (QR) – Market Risk is an expert quantitative modeling group in J.P. Morgan, as well as a leader in financial engineering, data analytics, statistical modeling and portfolio management. As a global team, QR partners with traders, marketers and risk managers across all products and regions, contributes to sales and client interaction, product innovation, valuation and risk management, inventory and portfolio optimization, electronic trading and market making, and appropriate financial risk controls.

The Credit Trading team of Market Risk Quantitative Research (MRQR) is seeking a hands-on quantitative modeler, based in NYC, who is experienced in specifying and implementing enterprise-level pricing and risk management systems. The primary duty for this position will be to develop Value-at-risk (VaR) models and infrastructure for market risk management and regulatory capital for the Credit Trading businesses under existing and forthcoming (FRTB) regulatory capital regimes. Our team partners closely with internal risk managers, finance professionals, trading desk personnel, and model validation to deliver innovative, industry-leading risk management solutions.

In addition, we are providing on job training, intensive internal classroom training, and online courses, all given by our experienced quants. Through the diversity of the businesses it supports and the variety of functions that it is responsible for, Quantitative Research group provides unique growth opportunities for you to develop your abilities and your career. We make reasonable accommodations for applicants’ and employees’ religious practices and beliefs, as well as any mental and physical health needs or particular family considerations.

If you are passionate, curious and ready to make an impact, we are looking for you.

You will contribute to the firm’s product innovation, effective risk management, and financial risk controls. Specifically, you will have the opportunity to:

• Specify and implement mathematical models for Value at Risk (VaR) and Stress testing for Credit Trading portfolios
• Conduct statistical analysis on risk factor properties and devise tests to evaluate model performance
• Design software for the market risk analytics platform
• Maintain model documentation and liaise with Model Risk Governance & Review in model validation matters
• Explain model behavior to Risk managers, Trading desk personnel, and Regulators.

Minimum Skills, Experience and Qualifications

We are looking for someone excited to join our organization. If you meet the minimum requirements below, you are encouraged to apply to be considered for this role:

• Excellent quantitative foundation and strong problem-solving skills
• Firm command of the mathematics used in financial modeling, such as probability theory, time series analysis, and statistics
• Research-oriented mindset and are comfortable consulting academic literature for guidance in solving day-to-day problems
• Strong computer programming skills and are proficient in code design, with a particular focus on Python and Java
• Experience in handling big datasets and are familiar with tools for data analysis and visualization in Python (e.g., pandas, scipy, sklearn, Jupyter)
• Excellent communication skills, both verbal and written, and are able to tailor your presentation to audiences with technical and non-technical backgrounds alike
• You are naturally curious about the world of finance, and are enthusiastic about sharing your knowledge and collaborating within our team

Additional Skills, Experience and Qualifications

The following additional items will be considered but are not required for this role:

• Advanced degree (PhD, MSc or equivalent) in Engineering, Mathematics, Physics, Finance, Computer Science or similar field. Certifications like CFA, CQF and FRM would be a bonus.
• Work experience of 1-5 years in a quantitative field or relevant academic research experience. Knowledge of Fixed Income markets, especially Credit instruments, is a plus, but not a strict requirement.