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CIB - QR - Market Risk Capital - Risk Model Development– VP - NY

Job Description

J.P. Morgan is a leading global financial services firm with assets of $2.1 trillion and operations in more than 60 countries. The firm is a leader in investment banking, financial services for consumers, small business and commercial banking, financial transaction processing, asset management and private equity. Information about J.P. Morgan is available at
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.
The Role
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.
Core responsibilities:
• 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.
Experience in developing models for Regulatory Market Risk Capital (in particular, IRC and CRM, but VaR is also relevant) or Front Office models for credit trading. 
• Experience in presenting technical matters to trading and model validation personnel. Ideally this experience will be related to trading book capital (VaR, IRC, CRM).
• Ability to work across organizational boundaries and build partnerships with key stakeholders on capital issues (Finance/Controllers, Traders and Risk Managers, Regulatory Policy, Market Risk Management, Market Risk Middle Office, RWA Reporting, central CCAR Project management)
• PhD in Applied Math, Physics, Economics (quantitative), Engineering or similar
• Excellent analytical and problem-solving skills
• Strong attention to detail
• Inquisitive nature, an ability to ask the right questions and escalate issues
• Risk & Control mindset
• Teamwork oriented
• Excellent communication skills (written and verbal) 
JPMorgan Chase is an equal opportunity and affirmative action employer Disability/Veteran.  
Req #: 150113434
Location: New York, NY US
Job Category: Corporate Staff
Employment Type: Full Time
Potential Referral Amount: 0 US Dollar (USD)

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