Market Risk Quantitative Research – Analyst/Associate/VP – Python Developer

Job title: Market Risk Quantitative Research – Analyst/Associate/VP – Python Developer

Company: JPMorgan Chase

Job description: Job Description:

Opportunity

The Market Risk Quantitative Research (MRQR) group is an expert quantitative risk modelling team within global Quantitative Research (QR) organization in JP Morgan. MRQR Time Series Analytics team oversees the Data Quality Program (DQP) and is specifically responsible for the development and implementation of the analytics and the infrastructure used for VaR (Value at Risk) time series. The team develops methodologies for assessing and grading the quality of the market data time series and for remediating data quality issues. Market data is a key input to the VaR model and other pricing and forecasting models used by the firm. The validity of VaR measure computations relies on the foundation that the historical financial market data (time series) properly reflects the magnitude and relationship of market moves across various market factors.

We are seeking a technically strong and disciplined Python developer, preferably with financial products knowledge and quantitative abilities. Solid analytical skills, good communications, and being able to work well independently or as part of team are critical for this role that works closely with product specialists in MRQR, Technology teams and other stakeholders in Market Risk.

Core Responsibilities

  • Implement new and maintain existing components of the time series analytics framework in Python
  • Develop and enhance a robust Data Quality Program (DQP) infrastructure for VaR market data time series
  • Industrialize and automate the DQP production process used for time series management performed by time series analysts on the team
  • Create, maintain and enhance APIs and statistical tools used for time series management and visualization
  • Carry out scenario analyses, develop and deliver quantitative tools, and support analytics
  • Conduct research on next-generation outlier detection and missing data imputation methodologies
  • Create unit and end-to-end implementation testing
  • Perform UAT of other platforms developed within the Market Risk infrastructure including big data
  • Liaise and collaborate with various functions including peer MRQR Product Specialists, Market Risk Coverage and Technology partners

Overall, the candidate will need to work closely with teams in New York, London, and Mumbai, and will need to be proactive to improve the market data time series analytics and the market risk strategic platform, access and learn J. P. Morgan’s highly sophisticated solutions.

Experience and Qualifications

  • Expertise in C++ and Python, including experience with Numpy, Scipy and Pandas; as well as programming experience in Java and SQL
  • Computer algorithms including hash table, graph and sorting, and distributed computing to process large quantities of data; object-oriented software design
  • Ability to perform code optimization, debugging and reverse engineering. Familiarity with software design patterns
  • 2-3 years of working experience in Athena environment for Market Risk model implementation, infrastructure enhancement and production industrialization
  • Good understanding of risk models (VaR, historical simulation and Monte-Carlo based models), pricing models, and product knowledge across asset classes
  • Strong analytical and problem solving skills
  • Excellent communication skills, both verbal and written
  • Attention to detail will be key in this role
  • Self-motivated to work independently and take ownership in delivering results
  • Graduate or undergraduate degree in a technical field, such as Math, CS, Physics, Data Science or Engineering
  • Pricing models theory or stochastic calculus is a plus

Organization Description

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.

Clients turn to our industry-leading Markets, Sales and Research team to offer clients unique market insights on sectors and companies, and actionable ideas using research to make well-informed investment decisions. Teams understand products across asset classes and help clients structure solutions that manage risk, enhance yield and solve complex financial problems.

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. In accordance with applicable law, we make reasonable accommodations for applicants’ and employees’ religious practices and beliefs, as well as any mental health or physical disability needs.

Equal Opportunity Employer/Disability/Veterans

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.

Expected salary:

Location: New York City, NY

Job date: Wed, 15 Sep 2021 07:02:59 GMT

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