Quantitative Research - Market Risk - Credit Modeling Associate

JP Morgan

Location: Greater London

Job Type: Full time

Posted


Job Description

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.

In the Quantitative Research (QR) – Market Risk you will be part of the team that supports development of quantitative models and infrastructure for market risk management and regulatory capital calculation across all products, regions and asset classes. The QR team 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. The Market Risk QR team partners with Front Office, “Desk Quants”, Market Risk managers, Technology, and Senior Management in assessing market risk while pursuing new business opportunities.

Through this role you will contribute to the firm’s product innovation, effective risk management, financial risk controls. Specially, you’ll have the chance to:

  • Develop mathematical models for Value at Risk (VaR) and Stress VaR for Credit products
  • Develop and enhance quantitative tools in analyzing profit-and-loss function of financial products, and statistical properties of instruments’ price drivers
  • Document modeling choices and corresponding statistical analysis
  • Develop on-going testing regimens to ensure that the models behave according to expectations through time
  • Collaborate with Model Risk Review & Governance during internal model review, and on-going model governance processes
  • Engage with Market Risk Governance, Market Risk Coverage, valuation-model developers / desk-quants and the trading desks to understand products and strategies
  • Design and develop software frameworks for analytics and their delivery to systems and applications
  • Drive innovation in risk modeling practices to unlock greater efficiencies and effectiveness

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.

  • Advanced degree (PhD, MSc or equivalent) in Engineering, Mathematics, Physics, Computer Science, etc. Relevant academic research publications a plus;
  • You demonstrate quantitative and problem-solving skills as well as research skills
  • You understand advanced mathematics arising in financial modeling, such as probability theory, time series analysis, statistics etc.
  • You have excellent practical data analytics skills on real data sets gained through hands-on experience, including familiarity with methods for working with large data and tools for data analysis (pandas, numpy, scikit, TensorFlow)
  • You are familiar with tools and methods of exploratory data analysis, visualization and modeling in Python e.g., pandas, scipy, sklearn, Jupyter
  • You demonstrate proficiency in code design and programming skills, with primary focus on Python and Java
  • You’re enthusiastic about knowledge sharing and collaboration
  • Your excellent communication skills, both verbal and written, can engage and influence partners and stakeholders; You are good at communicating concepts and ideas, also via documentation, and you are keen to defend their validity and tailor messages to different audiences

Additional Skills, Experience and Qualifications

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

  • Markets experience and general trading concepts and terminology is useful to be familiar with
  • Knowledge of options pricing theory, trading algorithms or financial regulations
  • Knowledge of Credit markets, is a plus
You’ve got this!