Are you ready for a thrilling opportunity to join a vibrant team in a challenging environment?
As a Quant Modelling Vice President in QR Markets Capital (QRMC) team's team, you will play a pivotal role by implementing the next generation of risk analytics platform. The QR Markets Capital (QRMC) team's mission is to build the models and infrastructure used for the risk management of Market Risk such as of Value at Risk(VAR)/Stress/Fundamental Review of the Trading Book(FRTB). The QRMC team in India will therefore play a critical role and support the activities of QRMC group globally. We also work closely with Front Office and Market Risk functions to develop tools and utilities for model development and risk management purposes.
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Job responsibilities
- Work on the implementation of the next generation of risk analytics platform;
- Assess model performance, perform back testing analysis and P&L attribution;
- Improve performance and scalability of analytics algorithms;
- Develop and enhance mathematical models for VaR/Stress/FRTB;
- Assess the appropriateness of quantitative models and their limitations, identifying and monitoring the associated model risk;
- Design efficient numerical algorithms and implementing high performance computing solutions;
- Design and develop software frameworks for analytics and their delivery to systems and applications.
Required qualifications, capabilities, and skills
- Advanced degree (PhD, MSc, B.Tech or equivalent) in Engineering, Mathematics, Physics, Computer Science, etc.;
- 3+ years of relevant experience in Python and/or C++ along with proficiency in data structures, standard algorithms and object oriented design;
- You have basic understanding of product knowledge across a range of asset classes - Credit, Rates, Equities, Commodities, FX & SPG;
- You're interested in applying agile development practices;
- You demonstrate quantitative and problem-solving skills as well as research skills;
- You understand basic mathematics such as statistics, probability theory;
- You demonstrate good interpersonal and communication skills, ability to work in a group;
- You're attentive to detail and easily adaptable;
Preferred qualifications, capabilities, and skills
- Experience applying statistical and/or machine learning techniques in the financial industry;
- Knowledge of options pricing theory, trading algorithms or financial regulations;
- Experience using multi-threading, GPU, MPI, grid, or other HPC technologies is a plus;
- Excellent knowledge on data analysis tools in python like Pandas, Numpy, Scipy etc;
- Knowledge of advanced mathematics such as stochastic calculus;
- Knowledge of front-end technologies like HTML, React and integration with large data sets.
ABOUT US
JPMorgan Chase & Co., 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 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.
ABOUT THE TEAM
The Corporate & Investment Bank is a global leader across investment banking, wholesale payments, markets and securities services. The world's most important corporations, governments and institutions entrust us with their business in more than 100 countries. We provide strategic advice, raise capital, manage risk and extend liquidity in markets around the world.