Market Risk Quantitative Research - Model Development(OP-098-OP)

Job Description

Quantitative Research Market Risk Associate/Senior AssociateAbout Quantitative ResearchQuantitative Research (QR) is an expert quantitative modeling group in J.P. Morgan, as well as a leader in financial engineering, data analytics, statistical modeling and portfolio management. As a global team, QR partners with traders, marketers and risk managers across all products and regions, contributes to sales and client interaction, product innovation, valuation and risk management, inventory and portfolio optimization, electronic trading and market making, and appropriate financial risk controls.OpportunityWe are looking for experienced candidates to join Market Risk QR (MRQR) Mumbai team. The teams mission is to build the models and infrastructure for the risk management purpose. This includes Value at Risk (VaR), Stress testing models, regulatory risk models like Fundamental Review of Trading Book (FRTB) and other analytical models for what-if analysis on bespoke scenarios. These models are developed across all the major asset classes. In this regard, we also work closely with Market Risk Management group, Global Markets Quantitative Research group, Market Risk Technology, Model RiskIn addition, we are providing on job training, intensive internal classroom training, and online courses, all given by our experienced quants. Through the diversity of the businesses it supports and the variety of functions that it is responsible for, Quantitative Research group provides unique growth opportunities for you to develop your abilities and your career. We make reasonable accommodations for applicants and employees religious practices and beliefs, as well as any mental and physical health needs or particular family considerations.If you are passionate, curious and ready to make an impact, we are looking for you.Your ImpactYou ll contribute to the firm s risk model development for internal risk management as well as for regulatory purpose. Specially, you ll have the chance to:
• Work on the implementation of the next generation of Market Risk analytics platform;
• Develop, enhance, optimize mathematical models for VaR/Stress/FRTB;
• Develop dynamic stress testing models and tools;
• Assess the appropriateness of quantitative models and their limitations, identifying and monitoring the associated model risk, work with model review team to get the models approved;
• Design efficient numerical algorithms and implementing high performance solutions;
• Design and develop frameworks for analytics and their delivery to systems and applications;
• Assess model performance, build tools and frameworks to facilitate perform back testing analysis and P&L attribution;
• Carry out research projects in order to define methodologies and improve Market Risk and regulatory capital framework. This includes but not limited to development of Machine Learning (ML) models.
About You
• Bachelors/Masters or equivalent degree in Maths, Physics, Math Finance, Data Science or Engineering;
• You bring expertise in Python and/or C++/or any other OOPS language; it is preferred if you have experience in development under production environment with knowledge of Software Development Life Cycle (SDLC)
• You demonstrate proficiency in data structures, standard algorithms and object oriented design;
• You understand the different types of risk and you can discuss in detailed ways of managing these risks;
• You have basic understanding of product knowledge across a range of asset classes Credit, Rates, Equities, Commodities, FX & SPG;
• You demonstrate quantitative and problem-solving skills as well as research skills;
• You understand basic mathematics such as statistics, probability theory;
• You demonstrate good interpersonal and communication skills, ability to work in a group;
• You re attentive to detail and easily adaptable;
Desirables
• Experience applying statistical and/or machine learning techniques in the financial industry;
• Knowledge of options pricing theory, trading algorithms or financial regulations;
• Experience using multi-threading, GPU, MPI, grid, or other HPC technologies is a plus;
• Excellent knowledge on data analysis tools in python like Pandas, Numpy, Scipy etc;
• Knowledge of advanced mathematics such as stochastic calculus;
• Knowledge of front end technologies like HTML, React and integration with large data sets.
Beyond that, we re interested in the things that make you unique: personal qualities, outside interests and achievements beyond academia and profession that demonstrate the kind of person you are and the differences you could bring to the team.About Us J.P. Morgan is a global leader in financial services, providing strategic advice and products to the world s most prominent corporations, governments, wealthy individuals and institutional investors. Our first-class business in a first-class way approach to serving clients drives everything we do. We strive to build trusted, long-term partnerships to help our clients achieve their business objectives.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.About the Team The Corporate & Investment Bank is a global leader across investment banking, wholesale payments, markets and securities services. The world s most important corporations, governments and institutions entrust us with their business in more than 100 countries. We provide strategic advice, raise capital, manage risk and extend liquidity in markets around the world.Clients turn to our industry-leading Markets, Sales and Research team to offer clients unique market insights on sectors and companies, and actionable ideas using research to make well-informed investment decisions. Teams understand products across asset classes and help clients structure solutions that manage risk, enhance yield and solve complex financial problems.,

Keyskills :
software development life cyclevalue at riskobject oriented designmarket risk managementfront endlife cyclemarket riskrisk modelsbuild toolsdata science