The Market Risk Quantitative Research (MRQR) is an expert quantitative risk team within global Market Risk and Quantitative Research organizations. MRQR Analytics team is specifically responsible for the execution framework of the risk management, in particular VaR, Stress and Regulatory Capital across all lines of trading businesses globally.
This includes responsibility for developing core framework of the risk management system, employing cutting edge programming technologies, using quantitative models, and delivering end-to-end solutions utilizing this framework. The team works closely with Market Risk Technology and Coverage teams, Product Specialists and Front Office Quants.
As part of the firm's effort to enhance the strategic risk framework there is an important requirement to build robust risk management system, and hence a need to create advanced solutions involving significant research, development and implementation efforts.
We are looking for a professional with strong programming expertise. Having quantitative and financial markets knowledge or statistical and machine learning modelling expertise is a plus. Solid analytical skills, good communications, being able to work well independently or as part of team are critical for this role.
Core responsibilities:
- Actively participate in delivery of end-to-end solutions for calculation of VaR, Stress and Regulatory Capital (FRTB SA and IMA).
- Employing various technologies and Python language coding, design efficient solutions for market risk management.
- Implement new and maintain existing components of the analytics framework written in Python.
- Create unit testing and end-to-end implementation and regression testing.
- Provide support and assistance to broader MRQR, Technology and Market Risk Coverage teams.
Liaise and collaborate with various functions such as Market Risk Coverage and Technology, Product Specialists and Front Office QR.
Essential skills, experience, and qualifications :
- PhD/MSc/BSc or equivalent degree in Computer Science, Engineering, Maths, Physics, Finance.
- Programming experience, specifically in Python, including Pandas, Numpy.
- Ability to perform code optimisation, debugging and reverse engineering.
- Familiarity with software design patterns.
- Strong analytical and problem solving abilities.
Solid verbal and written communication skills.
Desirable skills, experience, and qualifications:
- Experience with high performance computing, big data (e.g. Spark/Hadoop) and storage (e.g. HDFS, S3).
- Knowledge of financial products, including good understanding of derivatives valuation models.
- Knowledge of statistics and quantitative risk modelling: VaR, risk capital models, stress methodology.
- Experience in machine learning and data visualization.
JPMorgan Chase & Co., one of the oldest financial institutions, offers innovative financial solutions to millions of consumers, small businesses and many of the world's most prominent corporate, institutional and government clients under the J.P. Morgan and Chase brands. Our history spans over 200 years and today we are a leader in investment banking, consumer and small business banking, commercial banking, financial transaction processing and asset management.
We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. In accordance with applicable law, we make reasonable accommodations for applicants' and employees' religious practices and beliefs, as well as any mental health or physical disability needs.
The health and safety of our colleagues, candidates, clients and communities has been a top priority in light of the COVID-19 pandemic. JPMorgan Chase was awarded the "WELL Health-Safety Rating" for all of our 6,200 locations globally based on our operational policies, maintenance protocols, stakeholder engagement and emergency plans to address a post-COVID-19 environment.
As a part of our commitment to health and safety, we have implemented various COVID-related health and safety requirements for our workforce. Employees are expected to follow the Firm's current COVID-19 or other infectious disease health and safety requirements, including local requirements. Requirements include sharing information including your vaccine card in the firm's vaccine record tool, and may include mask wearing. Requirements may change in the future with the evolving public health landscape. JPMorgan Chase will consider accommodation requests as required by applicable law.
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