DESCRIPTION:
Duties: Conduct reviews of quantitative models that are used by the business and risk management for BAU (Business as Usual) and Stress and grant approvals. Conduct independent testing to validate model performance and implementation to ensure its appropriateness with design. Conduct product deep dives to determine suitability of models and uncover deficiencies. Execute model governance procedures in line with firm policies to ensure models approved are applied correctly in practice. Assess the results of ongoing performance monitoring tests and perform root cause analysis when thresholds are breached.
QUALIFICATIONS:
Minimum education and experience required: Master's degree in Mathematical Finance, Mathematics or related field of study plus 2 years of experience in the job offered or as a Quant/Risk Product Specialist or related occupation.
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Skills Required: Requires experience in the following: Python and R programming applied to Asset management and Asset pricing models; Conversant with Modern Portfolio Theories (CAPM, APT, ICAPM); Experience in modeling and use of optimization and Regression techniques for models used in portfolio management; Equity/Fixed Income asset analytics modelling (Black Scholes, Merton model and other similar models used for fixed income asset and option pricing); VaR risk modeling (Monte Carlo Simulation and Time Series modeling); Portfolio Stress Testing; Software system implementation testing of models; Experience in the use of Risk models sourced from vendors (MSCI Barra, Northfield, FactSet MAC); Familiarity with extraction and use of pricing and market data from financial data vendors (Bloomberg, FactSet, Lipper, Morningstar, Moody's).
Job Location: 237 Park Avenue, New York, NY 10017. Telecommuting permitted up to 40% of the week.
Full-Time. Salary: $150,000 - $150,000 per year.
ABOUT US
JPMorganChase, one of the oldest financial institutions, offers innovative financial solutions to millions of consumers, small businesses and many of the world's most prominent corporate, institutional and government clients under the J.P. Morgan and Chase brands. Our history spans over 200 years and today we are a leader in investment banking, consumer and small business banking, commercial banking, financial transaction processing and asset management.
We offer a competitive total rewards package including base salary determined based on the role, experience, skill set, and location. For those in eligible roles, we offer discretionary incentive compensation which may be awarded in recognition of firm performance and 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
ABOUT THE TEAM
Our professionals in our Corporate Functions cover a diverse range of areas from finance and risk to human resources and marketing. Our corporate teams are an essential part of our company, ensuring that we're setting our businesses, clients, customers and employees up for success.