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CIB QR - Quantitative Research Credit Portfolio Group - VP

Req #: 170046227
Location: London, ENG, UK
Job Category: Accounting/Finance/Audit/Risk
Potential Referral Amount: 3500 Pound Sterling (GBP)
About J.P. Morgan’s Corporate & Investment Bank

 

J.P.Morgan’s Corporate & Investment Bank is a global leader across banking, markets and investor services. The world’s most important corporations, governments and institutions entrust us with their business in more than 100 countries. With $18 trillion of assets under custody and $393 billion in deposits, the Corporate & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world.  Further information about J.P. Morgan is available at www.jpmorgan.com.

 

JPMorgan Chase & Co. offers an exceptional benefits program and a highly competitive compensation package. JPMorgan Chase & Co. is an Equal Opportunity Employer.
 
Job summary:
  • Counterparty Risk is the risk that a counterparty to JPMorgan does not fulfill its contractual obligations in full, typically as a result of the default of the counterparty. The associated Counterparty Valuation Adjustment (CVA) is the fair value of the compensation required for taking on this risk.
  • JPMorgan is a pioneer and industry leader in counterparty risk measurement and management. Counterparty risk has become a key focus for the financial industry and regulators in the wake of the financial crisis.
  • The Quantitative Research Group for Counterparty Credit Risk (QR CCR) is responsible for developing and supporting models to measure counterparty risk in the investment bank.
  • The group is also responsible for the wider XVA modelling e.g. modeling funding valuation adjustments (FVA) as well as credit risk capital.
  • Counterparty risk models are highly complex cross-asset class portfolio valuation models.
Core responsibilities:
  • Design and implement new cutting-edge, cross-asset, counterparty risk simulation models as well as enhance the existing library.
  • Support the XVA trading desk and Credit risk organisation in pricing and risk managing credit risk.
  • Work closely with asset aligned quantitative research groups in order to onboard new products into the counterparty risk valuation framework.
  • Liaise with technology teams in order to build out risk management systems and front end tools.
  • Ensure clear documentation and testing of models and work closely with the model review group in order to facilitate model approvals.
  • Liaise with Valuation Control and risk groups to understand limitations and risks in existing models and help in setting appropriate reserves and limits
Essential skills, experience, and qualifications:
  • PhD or MS degree in Math, Math Finance, Physics, Computer Science, Engineering or similar.
  • Deep understanding of probability theory, stochastic processes, PDEs, and numerical methods.
  • Excellent analytical and problem solving abilities.
  • Extensive C/C++ coding experience
  • Excellent communication skills (written and verbal).
  • Team work oriented.
Desirable skills, experience, and qualifications:
  • Experience in Counterparty Risk Modelling (CVA), funding valuation adjustment (FVA) or credit risk capital.
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