JPMorgan Chase Firmwide Risk - MRQR - FX Market Risk Quant – VP/Associate in LND, United Kingdom

Firmwide Risk - MRQR - FX Market Risk Quant – VP/Associate

Description

JP Morgan Chase

JPMorgan Chase & Co. (NYSE: JPM) is a leading global financial services firm with 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 athttp://www.jpmorganchase.com/.

Our Firmwide Risk Function

Our Firmwide Risk function is focused on cultivating a stronger, unified culture that embraces a sense of personal accountability for developing the highest corporate standards in governance and controls across the firm. Business priorities are built around the need to strengthen and guard the firm from the many risks we face, financial rigor, risk discipline, fostering a transparent culture and doing the right thing in every situation. We are equally focused on nurturing talent, respecting the diverse experiences that our team of Risk professionals bring and embracing an inclusive environment.

The LOB Risk Team

The Market Risk Quantitative Research (MRQR) FX team sits within the Risk organization. MRQR is a control function and its mandate is to develop methodology and where relevant implementation of Market Risk measurement models.

The responsibilities of the MRQR FX team span the full model lifecycle from new risk model specification through risk model approval, including implementation of risk models within a library and integration into the enterprise market risk system. MRQR FX team works closely with Market Risk Coverage, Market Risk Technology, and Model Risk Governance and Review; and interacts extensively with LoB Quantitative Research, Middle Office, Reporting teams and Controllers to develop VaR models that fully capture the market risk taken by the firm.

The Role

The opportunity is to join our London team as an Associate or VP depending on experience, with a focus on enhancing the risk core analytics and documentation for the CEM FX business. This role will have a strong focus on pricing/risk models and coding, and the successful candidate would be expected to participate in risk model submission, the development and design of the libraries for VaR models, risk analytical tools and new risk system Migration.

Key responsibilities include:

  • Design and develop core risk analytics library for VaR models related to FX products

  • Develop VaR methodologies for new or changed VaR models related to FX business

  • Specify requirements and drive the implementation of new or changed VaR models

  • Document risk impact of new methodology, and identify methodology limitations

  • Perform implementation testing, obtain governance approvals

  • Maintain a comprehensive inventory of risks not in VaR, portfolios not VaR

  • Participate in new risk system migration as a developer

  • Perform ongoing monitoring of VaR models, including identification of significant portfolio or market changes requiring model improvement.

  • Understand the key risk drivers for VaR and communicate potential risks for risk management purposes

Qualifications

Required Skills and Experience:

The role requires the combination of very strong software development skills, a very structured mathematical approach to problem solving suited for FX models and business, and the ability to work in a dynamic environment. Prior knowledge of quantitative modeling and risk neutral pricing is required; excellent communication skills are required in our interaction with trading, technology, and control functions.

Essential skills:

  • Strong FX market and product knowledge preferred

  • PhD or Master’s degree in math, statistics, physics, financial engineering, computer science or other quantitative fields

  • Exceptional analytical, quantitative and problem-solving skills

  • Great communication and interpersonal skills

  • Experience with Python is desired, and experience with C and Java would be a plus.

About J.P. Morgan’s Corporate & Investment Bank

 

J.P. Morgan’s Corporate & Investment Bank is a global leader across banking, markets and investor services. The world’s most important corporations, governments and institutions entrust us with their business in more than 100 countries. With $18 trillion of assets under custody and $393 billion in deposits, the Corporate & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world.  Further information about J.P. Morgan is available atwww.jpmorgan.com.

 

JPMorgan Chase & Co. offers an exceptional benefits program and a highly competitive compensation package. JPMorgan Chase & Co. is an Equal Opportunity Employer.

Job Risk

Primary Location GB-ENG-LND-25 Bank Street / 32173

Organization CORPORATE & INVESTMENT BANK

Schedule Full-time

Job Type Standard

Shift Day Job

Req ID: 170024340