Market Risk Model Delivery Group
J.P. Morgan’s Global Quants Group in Mumbai was set up in 2013 as an extension of the Firm’s global quants teams around the world. It is a fast growing team covering multiple asset classes across geographies. It provides in-depth knowledge that is behind our Investment Banking, Structuring, Sales & Trading and Research businesses around the globe. Deeply integrated with our Investment Banking business, the team facilitates deals and transactions by providing vital research and insight.
This position is a Quant profile to support the activities of the Quantitative Research Group (cross asset classes) & Market Risk Model Delivery Group globally sitting out in Mumbai. The QR team in Mumbai plays a critical role in providing effective, timely and independent assessments of the Firm’s booking models of exotic structures and also help in developing new models for structures as and when necessary.
This is an Analytics development position within the Market Risk Model Delivery group with a focus on Market Risk Capital modeling, and other related Capital and Risk analytics (e.g. derivative Greeks, portfolio structure analysis, etc). The role affords the new team member opportunities to gain cross-asset experience in a wide range of business areas and its product and models, while contributing to the model development for business specific as well as bank-wide models.
The primary responsibilities for this role will include:
- Work on the implementation of the next generation of Market Risk analytics platform.
- Integration of pricing models.
- Work on analytics delivery for Market Risk calculations.
- Improvement of performance and scalability of analytics algorithms.
Overall, the candidate will need to work closely with teams in Asia-Pacific and/or London and/or New York and will need to be proactive to improve desk efficiencies, access and learn J. P. Morgan’s highly sophisticated solutions.
- Good interpersonal and communication skills, ability to work in a group
- Graduate degree in a technical field, such as Math, CS, Physics, or Engineering.
- Expertise in C++ and/or Python, including experience with numpy, scipy and/or pandas
- Expertise in data structures, standard algorithms and OO design.
- Strong software design skills and implementation skills
- Strong analytical and problem solving abilities.
- Probability theory, financial math or stochastic calculus is a plus
- Development using multi-threading, GPU, MPI, grid, or other HPC technologies is a plus
Ideal candidates for these positions would be a graduate/post-graduate from a premier college or institute. A computer science or mathematics background will be most suitable.
J.P. Morgan’s Global Quants Group provides a challenging work environment and excellent opportunities to learn and grow both at the Quants Group and in the Firm’s global network.