Jpmorgan Chase & Co. New York , NY 10007
Vice President, Market Risk Quantitative Research
Req #: 180094515
Location: New York, NY,US
Job Category: Accounting/Finance/Audit/Risk
JPMorgan Chase & Co. (NYSE: JPM) is a leading global financial services firm with assets of $2.5 trillion and operations worldwide.
The firm is a leader in investment banking, financial services for consumers and small business, commercial banking, financial transaction processing, and asset management. A component of the Dow Jones Industrial Average, JPMorgan Chase & Co. serves millions of consumers in the United States and many of the world's most prominent corporate, institutional and government clients under its J.P. Morgan and Chase brands. Information about JPMorgan Chase & Co. is available at www.jpmorganchase.com
Duties: Evaluate and document quantitative methodologies, back-testing and simulating quantitative models, defining the VAR time series methodology and document it within regulatory standard.
Develop & deploy more advanced & innovative methodology for simulating risk factors and improving the VaR performance. This includes the enhancement of models and analytics in terms of methodology and code design like (i) more dynamic and more efficient approximations of time series with poor quality and (ii) risk factor simulation methods to capture complex empirical behaviour via machine learning techniques. Partner with other quantitative research, technology, data quality and product experts' teams.
Minimum education required: Master's degree or equivalent in Mathematics, Financial Engineering, or related field.
Minimum experience required: 5 years of experience in driving & implementing quantitative projects for a financial institution, or related experience.
Skills required: Must have demonstrated knowledge of Financial mathematics and quantitative modelling.
Must have experience in Programming (e.g. Python or similar high-level programming language). Must have experience in Statistics (advanced time series analysis). Must have demonstrated understanding of financial and market risk. Must have experience in developing methodology for VaR or Stress Testing.
Must have experience in writing scientific and financial quantitative documents. Must have experience managing and coordinating cross-department financial projects (IT, Business, Research). Must have demonstrated knowledge of financial regulation and prudential policies, including Basel II or III. Must have demonstrated understanding of IT process for financial risk. Employer will accept any amount of professional experience with the required skills.