DESCRIPTION:
Duties: Design methodology for the forward simulation of risk factors in the firm's trading book for the calculation of Value at Risk (VaR) and Risk Not in VaR. Develop and implement prototype scripts to test simulation models. Specify requirements for developer and technology teams in the delivery of risk measurement solutions and manage their prioritizations. Monitor the performance of simulation models by devising and applying regulatory and internal model performance metrics, such as backtesting and other statistical tests, to ensure accuracy and compliance. Provide quantitative support to stakeholders, helping them interpret and understand the results generated by the simulation models. Assist in the remediation of model risk issues by identifying, analyzing, and resolving any deficiencies or inaccuracies in the simulation process. Continuously enhance the simulation models and expand risk coverage, including risks not currently captured in existing VaR models. Collaborate with model risk teams to ensure that simulation models adhere to regulatory guidelines and JPMorgan Chase's internal policies. Present proposed model changes to Model Risk Committees for ratification. Maintain an inventory of simulation models, including their tiering and classification to support model governance. Prepare documentation and testing results using internal templates, ensuring all model development and validation activities are recorded and auditable.
QUALIFICATIONS:
Minimum education and experience required: Master's degree in Financial Engineering, Mathematics, Statistics, Finance, Economics, or related field of study plus 3 years (36 months) of experience in the job offered or as CIB Risk, CIB MR, or related occupation.
Skills Required: This position requires experience with the following: Developing statistical simulation models for market risk management and calculating market risk measures including Value-at-Risk; Analyzing valuation models for securities and derivatives to perform profit-and-loss predictions and to explain portfolio risk metrics; Applying the theory of stochastic processes and financial time series analysis to design risk factor scenarios; Programming in Python and handling big datasets with tools for data analysis and visualization; Documenting statistical financial models; Advising internal counterparties on regulatory rules for the capitalization of trading book portfolios; Coordinating the delivery of technology solutions in financial risk modeling.
Job Location: 237 Park Ave, New York, NY, 10017.
Full-Time. Salary: $160,000 - $238,000 per year.
About UsWe offer a competitive total rewards package including base salary determined based on the role, experience, skill set and location. Those in eligible roles may receive commission-based pay and/or discretionary incentive compensation, paid in the form of cash and/or forfeitable equity, awarded in recognition of individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more. Additional details about total compensation and benefits will be provided during the hiring process.
We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. We also make reasonable accommodations for applicants’ and employees’ religious practices and beliefs, as well as mental health or physical disability needs. Visit our FAQs for more information about requesting an accommodation.
JPMorgan Chase & Co. is an Equal Opportunity Employer, including Disability/Veterans
JPMorganChase New York, New York, USA Office
270 Park Avenue, New York, NY, United States, 10017-2014
JPMorganChase New York, New York, USA Office
4 Metrotech Center, New York, NY, United States, 11201
Similar Jobs
.jpg){kind=logo}
What you need to know about the NYC Tech Scene
Key Facts About NYC Tech
- Number of Tech Workers: 549,200; 6% of overall workforce (2024 CompTIA survey)
- Major Tech Employers: Capgemini, Bloomberg, IBM, Spotify
- Key Industries: Artificial intelligence, Fintech
- Funding Landscape: $25.5 billion in venture capital funding in 2024 (Pitchbook)
- Notable Investors: Greycroft, Thrive Capital, Union Square Ventures, FirstMark Capital, Tiger Global Management, Tribeca Venture Partners, Insight Partners, Two Sigma Ventures
- Research Centers and Universities: Columbia University, New York University, Fordham University, CUNY, AI Now Institute, Flatiron Institute, C.N. Yang Institute for Theoretical Physics, NASA Space Radiation Laboratory
