CIB Risk [Multiple Positions Available]

JPMorgan Chase & Co.•New York, NY

1d•$160,000 - $238,000•Onsite

About The Position

This role involves designing and implementing methodologies for the forward simulation of risk factors in the firm's trading book. The primary goal is to calculate Value at Risk (VaR) and Risk Not in VaR. The position requires developing and testing simulation models, specifying requirements for development teams, and monitoring model performance using regulatory and internal metrics like backtesting. It also includes providing quantitative support to stakeholders, assisting in the remediation of model risk issues, and continuously enhancing simulation models to expand risk coverage. Collaboration with model risk teams to ensure regulatory compliance and internal policy adherence is crucial, as is presenting proposed model changes to Model Risk Committees. Maintaining an inventory of simulation models and preparing auditable documentation are also key responsibilities.

Requirements

Master's degree in Financial Engineering, Mathematics, Statistics, Finance, Economics, or related field of study.
3 years (36 months) of experience in the job offered or as CIB Risk, CIB MR, or related occupation.
Developing statistical simulation models for market risk management and calculating market risk measures including Value-at-Risk.
Analyzing valuation models for securities and derivatives to perform profit-and-loss predictions and to explain portfolio risk metrics.
Applying the theory of stochastic processes and financial time series analysis to design risk factor scenarios.
Programming in Python and handling big datasets with tools for data analysis and visualization.
Documenting statistical financial models.
Advising internal counterparties on regulatory rules for the capitalization of trading book portfolios.
Coordinating the delivery of technology solutions in financial risk modeling.

Responsibilities

Design methodology for the forward simulation of risk factors in the firm's trading book for the calculation of Value at Risk (VaR) and Risk Not in VaR.
Develop and implement prototype scripts to test simulation models.
Specify requirements for developer and technology teams in the delivery of risk measurement solutions and manage their prioritizations.
Monitor the performance of simulation models by devising and applying regulatory and internal model performance metrics, such as backtesting and other statistical tests, to ensure accuracy and compliance.
Provide quantitative support to stakeholders, helping them interpret and understand the results generated by the simulation models.
Assist in the remediation of model risk issues by identifying, analyzing, and resolving any deficiencies or inaccuracies in the simulation process.
Continuously enhance the simulation models and expand risk coverage, including risks not currently captured in existing VaR models.
Collaborate with model risk teams to ensure that simulation models adhere to regulatory guidelines and JPMorgan Chase's internal policies.
Present proposed model changes to Model Risk Committees for ratification.
Maintain an inventory of simulation models, including their tiering and classification to support model governance.
Prepare documentation and testing results using internal templates, ensuring all model development and validation activities are recorded and auditable.