Quantitative Research [Multiple Positions Available]

DESCRIPTION:

Duties: Develop and enhance the quantitative modelling, analytics and framework of Value risk management on Value at Risk (VaR), specific risks, stress and regulatory capital. Implement risk models and business intelligence tools in Python or Excel, conduct ongoing enhancement to current system/infrastructure, design efficient numerical algorithms and implement high performance computing solutions. Develop and optimize quantitative tools in analyzing profit-and-loss function of SPG products and identify statistical properties of primary drivers behind instruments' valuation. Perform and analyze back testing for actual portfolios. Investigate and manage big data sets, conduct research on data integrity, curve construction and backbone analysis with machine learning and traditional statistical models, develop and implement new index for Value at Risk (VaR) methodologies, and automate monthly pool rebalancing. Document models and communicate with internal model review groups to pass strict company standards. Explain model behavior to clients and counterparts, carry out scenario analysis, provide guidance and debug analytics. Lead projects and collaborate with global teams on projects including implementing of new Value at Risk (VaR) framework and methodologies.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Financial Engineering, Computational Mathematics, Computer Science, or related field of study plus two (2) years of experience in the job offered or as Quantitative Research, Risk Analyst, Actuarial Analyst, or related occupation. The employer will alternatively accept a PhD in Financial Engineering, Computational Mathematics, Computer Science, or related field of study plus One (1) year of experience in the job offered or as Quantitative Research, Risk Analyst, Actuarial Analyst, or related occupation.

Skills Required: This position requires experience with the following: modelling or research with bonds and securitized products; Data extracting and quality analysis on financial market data, such as daily prices, trading volumes and market values, in Excel, SQL, and Python; Data processing and index optimization used in time series rebalancing, construction, and monitoring; VaR, Stress, and FRTB modelling methods; VaR simulation models research, development, and implementation in object-oriented design; Machine learning model research and application in systematic risks, idiosyncratic risks, stress and regulatory capitals; Model performance analysis and visualization in Excel, VBA, and Python; model validation including SR11-7 and model design experience; Statistics including probability theory, regression models, and stochastic processes; Trading desk quantitative support including risk limit monitoring and clean pnl attribution analysis.

Job Location: 270 Park Avenue, New York, NY 10017.

Full-Time. Salary:  $210,000 - $285,000 per year.

JPMorganChase, 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 offer a competitive total rewards package including base salary determined based on the role, experience, skill set and location. Those in eligible roles may receive commission-based pay and/or discretionary incentive compensation, paid in the form of cash and/or forfeitable equity, awarded in recognition of individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more. Additional details about total compensation and benefits will be provided during the hiring process. 

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. We also make reasonable accommodations for applicants’ and employees’ religious practices and beliefs, as well as mental health or physical disability needs. Visit our FAQs for more information about requesting an accommodation.

JPMorgan Chase & Co. is an Equal Opportunity Employer, including Disability/Veterans

J.P. Morgan’s Commercial & Investment Bank is a global leader across banking, markets, securities services and payments. Corporations, governments and institutions throughout the world entrust us with their business in more than 100 countries. The Commercial & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world.