Apply Now    

CIB QR - Quantitative Research Market Risk Capital – Risk Model Development – VP

Req #: 170037387
Location: Jersey City, NJ, US
Job Category: Accounting/Finance/Audit/Risk
Potential Referral Amount: 5000 US Dollar (USD)
Quantitative Research – Market Risk Capital – Risk Model Development – VP – NY
Job Description
QR Market Risk Capital (QR MRC) is a team within the Quantitative Research (QR) organization of JPMorgan. QR MRC owns the design, implementation, and development for a broad spectrum of best-in-class risk models, primarily in the measurement of regulatory market risk capital.
The Role
This is an experienced quantitative role (based in New York) focused on developing the firm’s risk engines for internal risk management and regulatory market risk capital. The team works closely with other model development teams in QR, and with teams in market risk management. The role also involves coordinating deliverables with the appropriate teams in the front office, regulatory management, and technology.
Communication skills are important to us: given the importance of capital modeling, we are seeking candidates who are able to present technical topics to senior internal stakeholders, and who are able to write high-quality model documentation. Candidates should be comfortable collaborating with colleagues at varying levels of experience and backgrounds.
In addition, the role requires a strong focus on risk and control within our data sourcing, data transformation, calculation and reporting processes.
Core responsibilities:
• Develop risk engines for the Internal Models Approach (IMA) of the new Market Risk Capital Rules (Fundamental Review of Trading Book, FRTB). This includes interpretation of regulatory guidance on IMA, model specification, developing data requirements, data sourcing, calibration, testing, documentation, and ongoing benchmarking and performance monitoring.
  • Understand existing Basel 2.5 Market Risk RWA models [VaR-based Measure (VBM), Specific Risk (SR), Incremental Risk Charge (IRC), and Comprehensive Risk Measure (CRM)] and perform comparisons between outcomes of existing (Basel 2.5) and new (FRTB) rules. This includes running existing models with expanded scope as defined by FRTB rules.
• Act as a technical lead on IMA.
  • Act as QR MRC’s liaison for FRTB and coordinate with market risk management on development of plans, timelines and deliverables.
• Experience in developing models for Regulatory Market Risk Capital (in particular, IRC and CRM, but VaR is also relevant) or Front Office models for credit trading. 
• Experience with market risk management in a large financial institution.
  • Front office or risk management experience with credit and equity products.
  • Experience with trade data, market risk management data and risk systems.
• Ability to work across organizational boundaries and build partnerships with key stakeholders on capital issues (Finance/Controllers, Traders and Risk Managers, Regulatory Policy, Market Risk Management, Market Risk Middle Office, RWA Reporting, central CCAR Project management)
• Advanced degree in Applied Math, Physics, Economics (quantitative), Engineering or similar
• Excellent analytical and problem-solving skills
• Strong attention to detail
• Inquisitive nature, an ability to ask the right questions and escalate issues
  • Apply Now    

    Join our Talent Community

    Not ready to apply? Leave your information with us and we will keep you up to date with new career opportunities.

    Things to note

    Sign in to our application system to continue your job search or update your profile.

    Current employees sign in here. Contractors sign in here.

    Any information you provide is confidential and will only be viewed by our recruiters in an effort to fill open positions. In addition, the information you provide is subject to our privacy policy practices.

    Please note that J.P. Morgan will not accept unsolicited approaches or speculative CVs, nor will J.P. Morgan be responsible for any related fees, from Third Party Firms who are not preferred suppliers.

    The firm invites all interested and qualified candidates to apply for employment opportunities.

    Need disability related assistance?

    If you are a US or Canadian applicant with a disability who is unable to use our online tools to search and apply for jobs, please click here.

    Important links

    Click here to view the "EEO is the Law" poster.

    Click here to view the "EEO is the Law" supplemental poster.

    Click here to view our U.S. Pay Transparency Policy.

    JPMorgan Chase is an equal opportunity and affirmative action employer Disability/Veteran.