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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.
Qualifications
 
• 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
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