JPMorgan Chase CIB QR - Market Risk Capital - Quantitative Developer - VP in Jersey City, New Jersey
Job Summary & Responsibility
J.P. Morgan has been doing first-class business in a first-class way for more than 200 years. We have been a leading player in helping companies grow and markets develop throughout our history. We work in collaboration across the globe to deliver the best solutions and advice to meet our clients’ needs anywhere in the world. We operate in more than 100 countries, and hold global leadership positions across our businesses.
The QR Market Risk Capital (MRQR MRC), within JP Morgan, is responsible for the development of a variety of financial models used throughout the firm as well as for governance and review of the models in the firm. The QR Market Risk Capital (MRQR MRC), group within QR is a multidisciplinary group of quantitative experts on design, development and implementation of a broad spectrum of risk, valuation, and capital models with applications to regulatory capital measurements focusing on credit risk.
We are currently seeking an outstanding quantitative development candidate to join the MRQR MRC group in New York at the VP level.
Core responsibilities includes
Develop and implement market risk models for regulatory market risk capital
Develop and implement market risk factor simulation engine
Develop and implement analytical pricers for new products/payoffs
Support existing portfolio value-at-risk and capital models, including pricing, simulation, and calibration, testing and benchmarking analyses
Design and implement tools for understanding and explaining model behavior
Phd/MS degree or equivalent in a quantitative field such as mathematics, physics, engineering, computer science, statistics or economics.
Strong quantitative skills in market risk, numerical algorithms and derivatives pricing.
Strong programming skills with implementation experience in large analytical library development.
Prior experiences as Credit Risk analytics or Credit Derivatives analytics developer in C++/Python
Strong written and verbal communication skills
JPMorgan Chase is an equal opportunity and affirmative action employer Disability/Veteran.