JPMorgan Chase Associate, Model Development in New York, New York

Duties: Responsible for developing the firm’s risk engines for internal risk management and regulatory market risk capital. Develop risk engines for the Internal Models Approach (IMA) Default Risk Charge (DRC) 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) to perform comparisons between outcomes of existing (Basel 2.5) and new (FRTB) rules. Run existing models with expanded scope as defined by FRTB rules. Coordinate deliverables with the appropriate teams in the front office, regulatory management, and technology. Act as QR MRC’s liaison for FRTB and coordinate with market risk management on development of plans, timelines and deliverables. Research, develop and enhance pricing and simulation model for market risk measure such as DRC, IRC, SR and Stress SR. Calculate and simulate the market risk capital measures for the internal market risk report. Generate and analyze the quarterly market risk report by investigating how the simulated profit and loss sample paths and defaulting timing affect the default loss in the market risk measure. Implement Python programing to automate the calculation process. Improve the work process using SQL programing in MySQL database. Collaborate with CIB technology team to migrate the market risk capital measure to the new Python based platform. Analyze impact on the risk report of the IT platform migration.

Minimum education required: Master’s degree or equivalent in Mathematical Finance, Mathematics, Engineering, or related field.

Minimum experience required: 2 years of experience in financial modeling and coding, or related experience.

Skills Required: Must have demonstrated knowledge of implementing in context of financial risk and valuation models using Monte Carlo Simulation and Markov Chain Monte Carlo Simulation. Must have experience working with Valuation/Risk models for traded credit instruments. Must have demonstrated knowledge of Valuation/Risk models for traded equity instruments. Must have experience with model documentation or validation. Must have experience with Valuation/Risk models for traded fixed income instruments. Must have programming experience in C++, Matlab and SQL. Must have demonstrated knowledge of Econometric and Time Series Analysis experience. Must have demonstrated knowledge of Stochastic Calculus for finance. Must have demonstrated knowledge of Numerical Methods for financial modeling. Employer will accept any amount of graduate coursework, graduate research experience or professional experience with the required skills.

JPMorgan Chase is an equal opportunity and affirmative action employer Disability/Veteran.