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CIB QR – Quantitative Research Market Risk Model Delivery – Associate

Req #: 170105021
Location: New York, NY, US
Job Category: Accounting/Finance/Audit/Risk
Potential Referral Amount: 5000 US Dollar (USD)
J.P. Morgan is a leader in financial services, offering innovative and intelligent solutions to clients in more than 100 countries with one of the most comprehensive global product platforms available. We have been helping our clients to do business and manage their wealth for more than 200 years and we keep their interests foremost in our minds at all times. This combination of product strength, intellectual capital and character sets us apart as an industry leader. J.P. Morgan is part of J.P. Morgan Chase & Co. (NYSE: JPM), a global financial services firm with assets of $2.0 trillion.
 
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.
 
Core Responsibilities:
  • 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.
  • 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
 
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