Model Development and Capital Analysis (MDCA) is a team within the Quantitative Research (QR) organization of JPMorgan. MDCA owns the design, implementation, and development for a broad spectrum of best-in-class risk models, including counterparty risk, economic risk capital, and regulatory risk capital measures.
This is an experienced quantitative role (based in New York) focused on developing the firm’s risk engines for internal risk management and regulatory market risk capital. The team works closely with other model development teams in QR and with the firm’s model validation team. The role also involves coordinating deliverables with the appropriate teams in the front office, regulatory management, market risk management, and technology.
Communication skills are important to us: given the importance of capital modeling, we are seeking candidates who are able to present technical topics to senior internal stakeholders as well as to regulators, and who are able to write high-quality model documentation. Candidates should be comfortable collaborating with colleagues at varying levels of experience and backgrounds.
• Develop the risk engines for Basel 2.5 Market Risk RWA models [VaR-based Measure (VBM), Specific Risk (SR), Incremental Risk Charge (IRC), and Comprehensive Risk Measure (CRM)]. This includes working on model specification, calibration, testing, documentation, and ongoing benchmarking and performance monitoring.
• Act as a technical expert in modeling discussions and presentations, including internal meetings and on-site regulatory exams of market risk RWA models with the FRB, OCC, and PRA.