Market Risk Quantitative Research [Multiple Positions Available]

JPMorgan Chase & Co.•New York, NY

4d•$183,000 - $220,000•Onsite

About The Position

Develop and enhance mathematical market risk models for Value at Risk (VaR) metrics for derivatives, fixed income, liquidity, FX options, and structured products for Emerging Markets. Execute performance testing of Value at Risk (VaR) models, assessing the impact of changes in pricing models, trading desk strategies, market environments, and regulatory requirements. Apply and develop advanced quantitative methods to ensure precise valuation and robust performance of VaR models, effectively addressing diverse market dynamics, new products, and evolving local regulatory changes across the Emerging Markets business. Ensure models maintain consistent performance over time, dynamically adapting to evolving market conditions while meeting internal standards and regulatory requirements. Deliver quantitative insights to market risk model stakeholders, including Market Risk senior management. Document and justify modeling choices, ensuring strict alignment with regulatory and internal governance requirements. Conduct thorough analysis of model performance and document decisions made during the modeling process. Work with Model Risk Review & Governance teams during internal reviews and ongoing governance processes. Engage proactively in the maintenance and advancement of market risk model and data infrastructure initiatives across partner teams, including Market Risk, Front Office Quantitative Research, Product Control, Technology, Business, and Data Science groups.

Requirements

Bachelor's degree in Finance, Business Administration, Economics, Mathematics, or related field of study plus six (6) years of experience in the job offered or as Market Risk Quantitative Research, Corporate and Investment Banking, Market Risk Governance, or related occupation.
Five (5) years of experience developing and enhancing mathematical market risk models for Value at Risk (VaR) metrics across derivatives, fixed income, liquidity products, FX options, and structured products in Emerging Markets.
Five (5) years of experience executing performance testing of VaR models and assessing the impact of pricing model changes, trading strategies, and regulatory shifts through scenario analyses.
Five (5) years of experience sourcing data from portfolio management systems and big-data platforms, and performing data extraction and processing using Tableau, Python, NumPy, SciPy, Pandas.
Five (5) years of experience applying Excel functions and business intelligence tools for sensitivity analysis and validation.
Five (5) years of experience documenting and justifying modeling choices to ensure compliance with regulatory requirements and internal governance standards.
Five (5) years of experience managing market risk methodology for Value at Risk, scenario analysis from conceptualization to calibration by assessing their impact on accuracy against estimates, up to production.
Five (5) years of experience performing quantitative maintenance of time-series data and model results and performance.
Five (5) years of experience ensuring model compliance with model risk governance process and their usages within reliable, transparent, and auditable risk measurement.
Five (5) years of experience managing and monitoring models that assess the accuracy of VaR risk factors to track the official portfolio risk and profit and loss through model accuracy.
Five (5) years of experience performing VaR performance analysis through backtesting against the official profit and loss.
Five (5) years of experience ensuring the proper operational functioning of risk management processes.
Two (2) years of experience managing valuation and pricing software for quantitative analysis of trading portfolios covering derivatives, FX, options, fixed income, and liquidity products to ensure model consistency and identifying limitations relative to VaR models.
Two (2) years of experience maintaining and advancing market risk models, including Historical and Monte Carlo simulation models, Expected Shortfall, and Incremental VaR aggregation tools.
Two (2) years of experience managing risk factor tools including aggregation of Greeks and higher-order sensitivities, and Profits and losses decomposition at the risk factor level.
Two (2) years of experience developing data infrastructure, including daily processing of VaR and FRTB jobs, simulation and proxy model libraries, and integrated API services for accessing risk data and analytics.

Responsibilities

Develop and enhance mathematical market risk models for Value at Risk (VaR) metrics for derivatives, fixed income, liquidity, FX options, and structured products for Emerging Markets.
Execute performance testing of Value at Risk (VaR) models, assessing the impact of changes in pricing models, trading desk strategies, market environments, and regulatory requirements.
Apply and develop advanced quantitative methods to ensure precise valuation and robust performance of VaR models, effectively addressing diverse market dynamics, new products, and evolving local regulatory changes across the Emerging Markets business.
Ensure models maintain consistent performance over time, dynamically adapting to evolving market conditions while meeting internal standards and regulatory requirements.
Deliver quantitative insights to market risk model stakeholders, including Market Risk senior management.
Document and justify modeling choices, ensuring strict alignment with regulatory and internal governance requirements.
Conduct thorough analysis of model performance and document decisions made during the modeling process.
Work with Model Risk Review & Governance teams during internal reviews and ongoing governance processes.
Engage proactively in the maintenance and advancement of market risk model and data infrastructure initiatives across partner teams, including Market Risk, Front Office Quantitative Research, Product Control, Technology, Business, and Data Science groups.