Chase ยท 2 weeks ago
Risk Management-Quantitative Associate- Market Risk Model Development
237 Park Ave, New York, NY, 10017, US
Full-time
Onsite
Mid Level
$135K/yr - $150K/yr
3+ years expJPMorgan Chase is a leading financial services firm, and they are seeking a Quantitative Analyst in the Market Risk Model Development team. The role involves designing and implementing models critical for risk management and regulatory compliance, while collaborating with colleagues to ensure the models meet high standards.
BankingFinancial Services
Responsibilities
Apply advanced statistical analysis to historical market data to specify and implement mathematical models for Value-at-Risk, regulatory capital, and stress testing of Fixed Income portfolios, with a focus on Securitized Products
Devise statistical tests to evaluate model performance and quantify the impact of alternative modeling assumptions
Interpret regulatory pronouncements and translate them into actionable model specifications
Coordinate model implementation with Front Office model developers and Technology partners
Explain model behavior to Risk managers, Trading desk personnel, and Regulators
Establish comprehensive model documentation and liaise with Model Risk Governance and Review for model validation
Assess model risk issues associated with valuation and risk models, and devise compensating controls when necessary
Qualification
Required
Minimum 3 years of professional experience as a quantitative analyst in model development, model validation, or quantitative risk management for Fixed Income, with a focus on Securitized Products
Strong foundation in probability theory, time series analysis, and statistics as applied to financial modeling
Proficiency in computer programming, with experience handling large datasets and using Python tools such as pandas, scipy, sklearn, and Jupyter
Excellent verbal and written communication skills, with the ability to present complex concepts to both technical and non-technical audiences
Preferred
Advanced degree (PhD or Masters) in Engineering, Mathematics, Physics, Finance, Computer Science, or a related field preferred
Demonstrated curiosity about finance and a research-oriented mindset
Experience consulting academic literature to solve practical modeling challenges
Enthusiasm for sharing knowledge and collaborating within a team environment
Company
Chase
Chase provides broad range of financial services. It is a sub-organization of JP Morgan Chase.
10001+ employees
Funding
Current Stage
Late StageLeadership Team
Mike McDonnell
Managing Director, Head of Chase Travel Platform Product
Nicole Sanchez
Managing Director, Consumer Bank, GM and Product Executive, Growth Financial Products
Recent News
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