JPMorgan Market Risk is building up a team focusing on VaR (value-at-risk) methodology. This VaR methodology team will align to each business and region and work closely with the Market Risk team, front office, CFOs, Quantitative Research, Model Review Group, middle office and risk reporting to ensure the Bank's market risk is captured in VaR models.
The VaR Methodology Team performs the following primary functions:
Develop and build VaR models
Ongoing identification of market risk that should be captured in VaR and risk-not-in-VaR
Performance of implementation testing
Analysis of market data, risk factors, and aggregated risks in VaR
Quantification of VaR impact due to usage of proxy market data, risk-not-in-VaR, and changes in VaR methodology
Regular dialogue with the Market Risk Coverages, Front Office, Quantitative Research, Model Risk and Development, Technology team to ensure VaR models fully capture all relevant market risks.
The role is based in New York and will be part of VaR Methodology Team, across all financial products (FX, Commodities, Rates, Credit, Securitized Products, Exotics, and Mortgages) across the firm.
Job Responsibilities
Document and update new or changes to VaR methodology
Validate and justify the VaR methodology, which include using empirical evidence (statistical analysis of historical market data) or quantitative models.
Quantify risk measure such as the VaR impact when using proxy or sticky market data time series or some risk factors are not captured
Build pricing models for leveraged loan commitment.
Interact extensively with technology and reporting teams to ensure accurate risk capture; due diligence and attention to detail is critical
Monitor risk measures, understand the factors that drive the risk or VaR
Provide guidance to Market Risk Coverages on quantitative models.
Provide clear briefings of current events/issues to line management and to the wider audience of colleagues
Qualifications
Strong academic background with minimum Master degree, preferably Ph.D. degree in maths, statistics, engineering, or science.
At least 3 years of working experience in model development which may include VaR, stress, derivatives pricing, market risk, or risk model.
Ability to build and test new models independently.
Ability to multi-task, work well under pressure with commitment to deliver under tight deadlines
Lateral thinker, tenacious, commitment to getting things done and detail focused
Ability to form constructive professional relationships with a wide variety of colleagues
Previous exposure to financial products is a distinct advantage. A keen interest in financial markets is appreciated.
Excellent written and spoken communication skills. Must be able to converse with a wide variety of groups
Ability to work independently with limited supervision. Must be able to make clear recommendations & conclusions
Working knowledge of Microsoft Word, Excel and PowerPoint
Strong analytical skills; must be competent with numbers and able to challenge concepts/proposals
JP Morgan Chase & Co. offers an exceptional benefits program and a highly competitive compensation package.
JP Morgan Chase & Co. is an Equal Opportunity and Affirmative Action Employer, M/F/D/V
|