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Market Risk Quantitative Research – Governance Process & Control - VP

Req #: 170052530
Location: New York, NY, US
Job Category: Accounting/Finance/Audit/Risk
Potential Referral Amount: 5000 US Dollar (USD)
Market Risk Quantitative Research – Governance Process & Control - Associate / VP
Market Risk Quantitative Research (MRQR) is an independent team within Firmwide Risk Management. This team is responsible for development of Market Risk models (e.g. VaR) used for risk management and capitalization of JPMC’s trading businesses. MRQR works closely with asset class aligned QR teams (i.e., “desk quants”), Market Risk Coverage (MRC), Market Risk Technology, and Model Risk Governance and Review (MRGR), and collaborates extensively with Market Risk Basel Group (MRBG), Middle Office, Risk Reporting, the Front Office, and Product Controllers, to develop Market Risk models that capture risk fully within a robust control environment. 
Within MRQR, the Governance, Process and Control (GPC) team works directly with the modelers to structure and manage initiatives, model documentation, portfolio analysis, commitments and ad hoc tasks in a well-organized way that leverages our resources, supports a highly-controlled model risk management environment and promotes structured information workflow with management, regulators and internal partners.
Location – New York
 
Primary functions and Job Responsibilities:
  • Model Documentation - Assist in developing and editing the VaR, Stressed VaR and Risk Not in VaR (RNIV) model documentation. This may involve,
  • Interaction with MRQR Product Specialists, MRC and other Market Risk stakeholders to understand model design, methodology and implementation
  • Portfolio analysis (if required)
  • Implementation testing
  • Documentation of ongoing model performance and/or risk mitigating controls
  • Management of updates (e.g. from model changes)
  • Interaction with model reviewers during the model approval process.
  • Other Documentation - Draft policies and procedures covering various aspects of VaR model development, implementation and governance processes. It may involve review and analysis of the current Market Risk process, controls and workflows with a view to document, enhance and strengthen the integrity and dependability of Market Risk measurement models.
  • Portfolio analysis - Extraction of risk and position data from Market Risk systems for analysis supporting model development efforts. It may also include implementation and analysis of Market Risk capital calculations required under Fundamental Review of Trading Book (FRTB) regulations.
  • Information workflow - Manage a structured flow of information among MRQR and partner groups. Interaction may be required with Risk and Capital Management Office (RCMO), Market Risk policy, Middle Office, technology teams, Internal Audit and external regulators.
Qualifications:
  • Bachelor’s or Masters in financial engineering or equivalent
  • Drafting skills and strong experience in developing model documentation
  • Proven records of attention to details and strong analytical skills
  • Familiarity with conceptual analysis of workflows and IT tools, model development and implementation and model controls
  • Control-oriented mindset; experience with governance and controls is a strong plus
  • Knowledge of traded products and related risk factors
  • Prior experience in Market Risk modeling and/or with market risk management is a strong plus
  • Python programming skills is a strong plus
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