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CIB QR - Quantitative Research Market Risk Capital Modeling - VP

Req #: 170067313
Location: New York, NY, US
Job Category: Accounting/Finance/Audit/Risk
Job Description:
QR Market Risk Capital modeling 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, including counterparty risk, economic risk capital, and regulatory risk capital measures.
The Role:
This is an experienced quantitative role (based in New York) focused on developing the firm’s risk engines for internaal risk management and regulatory market risk capital. The team works closely with other model development teams in QR and with the firm’s model validation team. The role also involves coordinating deliverables with the appropriate teams in the front office, regulatory management, market risk 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 as well as to regulators, and who are able to write high-quality model documentation. Candidates should be comfortable collaborating with colleagues at varying levels of experience and backgrounds.
Core responsibilities:
Develop the risk engines for Basel 2.5 Market Risk RWA models [VaR-based Measure (VBM), Stressed VaR-based Measure (SVBM), Specific Risk (SR), Incremental Risk Charge (IRC), and Comprehensive Risk Measure (CRM)], their RWA forecasting models as part of CCAR/DFAST, and next generation of Market Risk RWA – FRTB. This includes model specification, model calibration, testing, documentation, and ongoing benchmarking and performance monitoring.
Act as a technical expert in modeling discussions and presentations, including internal meetings and on-site regulatory exams of the Market Risk RWA models with the FRB, OCC, and PRA.
Experience in developing models for Regulatory Market Risk Capital (in particular, VaR, IRC, CRM) or Front Office models for credit trading. 
Experience in presenting technical matters to trading, risk, and model validation personnel. Ideally this experience will be related to trading book capital (VaR, IRC, CRM).
Ability to work across organizational boundaries and build partnerships with key stakeholders on capital issues (finance professionals and controllers, traders and risk managers, regulatory policy experts)
PhD in Applied Math, Physics, Economics (quantitative), Engineering or similar
Excellent analytical and problem-solving skills
Strong attention to detail
Inquisitive nature, an ability to ask the right questions and escalate issues
Risk & Control mindset
Excellent communication skills (written and verbal) 
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