JP Morgan Chase - Associate - Quantitative Research - AWM Risk Analytics Group Bangalore

Asset and Wealth Management Risk - AWM Risk Analytics Group - Quantitative Research-Bangalore

JPMorgan Asset & Wealth Management (AWM) is looking to hire a Quantitative Risk professional to join the AWM Risk Analytics team. AWM Risk Analytics, part of AWM Risk Management, is a small team of experienced quantitative and market risk oriented professionals. It is responsible for developing and maintaining risk measurement methodologies, and the calculation of analytics.

Risk Analytics and the AWM Risk Technology team have developed a risk analytics application (Newton) that covers Global Equity, Global Fixed Income and Global Balanced LOBs within Asset & Wealth Management. Newton is used by the AWM Investment and Counterparty Risk Managers, and the front-office.

The individual will work within the global AWM Risk Analytics team and will:

Assist in the research and enhancement of the risk methodology for Newton. The methodology covers sensitivity, stress, VaR and factor modeling, for investment (market), counterparty (credit) and liquidity risk.

Prepare model documentation to be used by Model Risk Governance and Review group to validate the models owned and used by our team. Documentation will cover conceptual soundness of model specification; reasonableness of assumptions and reliability of inputs; completeness of testing performed to support the correctness of the implementation; robustness of numerical aspects; suitability and comprehensiveness of performance metrics and risk measures associated with use of model.

The candidate must :

- Be highly quantitative, technically proficient, detail-oriented, able to multi-task and work independently; understand financial mathematics and quantitative techniques used to measure risk at the security and portfolio levels

- Have a good understanding of the equity and fixed income (rates and credit) products and markets, as well as related derivatives and structured/securitized products. Have experience pricing and evaluating risk on securities, derivatives and structured/securitized products using appropriate models

- Possess and effectively communicate in-depth knowledge of asset pricing models, VaR models and stress testing techniques; experience with VaR backtesting techniques and model performance testing a plus

- Experience with MSCI-RiskMetrics and/or MSCI-Barra is a plus

- Have 2-5 years of experience in a quantitative analysis/research role within Market/Credit Risk Management, a Front Office role or academic equivalent. Experience performing model reviews a plus.

- Quantitative degree preferred (Mathematics, Financial Engineering, Engineering or equivalent)

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