Risk Management - Quantitative Associate - Market Risk Model Development

JPMorgan Chase & Co.•New York, NY

About The Position

As a Quantitative Analyst in the Market Risk Model Development team, you will help design and implement models that are critical to the firm’s risk management and regulatory compliance. You will work with a diverse group of colleagues who value your insights and support your growth. Together, we ensure our models meet the highest standards and make a real impact on the business.

Requirements

Minimum 3 years of professional experience as a quantitative analyst in model development, model validation, or quantitative risk management for Fixed Income trading, with a focus on Corporate Credit or Securitized Products
Strong foundation in probability theory, time series analysis, and statistics as applied to financial modeling
Proficiency in computer programming, with experience handling large datasets and using Python tools such as pandas, scipy, sklearn, and Jupyter
Excellent verbal and written communication skills, with the ability to present complex concepts to both technical and non-technical audiences

Nice To Haves

Advanced degree (PhD or Masters) in Engineering, Mathematics, Physics, Finance, Computer Science, or a related field preferred
Demonstrated curiosity about finance and a research-oriented mindset
Experience consulting academic literature to solve practical modeling challenges
Enthusiasm for sharing knowledge and collaborating within a team environment

Responsibilities

Apply advanced statistical analysis to historical market data to specify and implement mathematical models for Value-at-Risk, regulatory capital, and stress testing of Fixed Income portfolios, with a focus on Corporate Credit and Securitized Products
Devise statistical tests to evaluate model performance and quantify the impact of alternative modeling assumptions
Interpret regulatory pronouncements and translate them into actionable model specifications
Coordinate model implementation with Front Office model developers and Technology partners
Explain model behavior to Risk managers, Trading desk personnel, and Regulators
Establish comprehensive model documentation and liaise with Model Risk Governance and Review for model validation
Assess model risk issues associated with valuation and risk models, and devise compensating controls when necessary