QR Market Risk Capital (QR MRC) is a team within the Quantitative Research (QR) organization of JPMorgan. QR MRC owns the design, implementation, and development for a broad spectrum of best-in-class risk models, primarily in the measurement of regulatory market risk capital.
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 teams in market risk management. The role also involves coordinating deliverables with the appropriate teams in the front office, regulatory 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, and who are able to write high-quality model documentation. Candidates should be comfortable collaborating with colleagues at varying levels of experience and backgrounds.
In addition, the role requires a strong focus on risk and control within our data sourcing, data transformation, calculation and reporting processes.
• Develop risk engines for the Internal Models Approach (IMA) of the new Market Risk Capital Rules (Fundamental Review of Trading Book---FRTB). This includes interpretation of regulatory guidance on IMA, model specification, developing data requirements, data sourcing, calibration, testing, documentation, and ongoing benchmarking and performance monitoring.
Understand existing Basel 2.5 Market Risk RWA models [VaR-based Measure (VBM), Specific Risk (SR), Incremental Risk Charge (IRC), and Comprehensive Risk Measure (CRM)] and perform comparisons between outcomes of existing (Basel 2.5) and new (FRTB) rules. This includes running existing models with expanded scope as defined by FRTB rules.
• Act as a technical lead on IMA.
Act as QR MRC’s liaison for FRTB and coordinate with market risk management on development of plans, timelines and deliverables.
Manage a junior staff who will assist with execution of above-mentioned responsibilities.
JPMorgan Chase & Co. (NYSE: JPM) is a leading global financial services firm with assets of $2.6 trillion and operations worldwide. The firm is a leader in investment banking, financial services for consumers and small business, commercial banking, financial transaction processing, and asset management. A component of the Dow Jones Industrial Average, JPMorgan Chase & Co. serves millions of consumers in the United States and many of the world's most prominent corporate, institutional and government clients under its J.P. Morgan and Chase brands. Information about JPMorgan Chase & Co. is available at www.jpmorganchase.com
• 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 with market risk management in a large financial institution.
• 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)
• Advanced degree in Applied Math, Physics, Economics (quantitative), Engineering or similar
• Excellent analytical and problem-solving skills
• Strong attention to detail