Quantitative Research – Market Risk Capital – Risk Model Development – VP – NY
QR Market Risk Capital (QR MRC) is a team within the Quantitative Research (QR) organization of JPMorgan. QR MRC owns the design, implementation, and development for a broad spectrum of best-in-class risk models, primarily in the measurement of regulatory market risk capital.
This is an experienced quantitative role (based in New York) focused on developing the firm’s risk engines for internal risk management and regulatory market risk capital. The team works closely with other model development teams in QR, and with teams in market risk management. The role also involves coordinating deliverables with the appropriate teams in the front office, regulatory management, and technology.
Communication skills are important to us: given the importance of capital modeling, we are seeking candidates who are able to present technical topics to senior internal stakeholders, and who are able to write high-quality model documentation. Candidates should be comfortable collaborating with colleagues at varying levels of experience and backgrounds.
In addition, the role requires a strong focus on risk and control within our data sourcing, data transformation, calculation and reporting processes.
• Develop risk engines for the Internal Models Approach (IMA) 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)] and perform comparisons between outcomes of existing (Basel 2.5) and new (FRTB) rules. This includes running existing models with expanded scope as defined by FRTB rules.
• Act as a technical lead on IMA.