HR at JP Morgan Chase
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JP Morgan Chase - Associate - Quantitative Risk - IIT/BITS (1-5 yrs)
- Assist in the research and enhancement of the risk methodology for Newton. The methodology covers sensitivity, stress, VaR and factor modeling, for both investment (market) and counterparty (credit) risk.
- Provide risk analysis to Risk Managers and LOB users of Newton at both the portfolio level and security level by determining the qualitative and quantitative factors driving change in risks and exposures.
- Assist with performance testing on the risk pricing models, including monthly VaR backtesting and model calibration checks.
- 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 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 Risk Metrics is a plus
- Have 1-5 years of experience in a quantitative analysis/research role within Market/Credit Risk Management, a Front Office role or academic equivalent