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Market Risk Quantitative Research - Associate

Company: JPMorgan Chase & Co.
Location: Jersey City
Posted on: November 22, 2022

Job Description:

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 candidate technically strong in Python coding skill, preferably with financial products knowledge and quantitative abilities. Solid analytical skills, good communications, and being able to work well independently or as part of the 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
  • Carry out scenario analyses, develop and deliver quantitative tools, and support analytics
  • Research and develop next-generation outlier detection and missing data imputation methodologies
  • 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
  • Develop and implement front-end analytics and applications to deliver end-to-end market data time series solutions
  • 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 India, 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. Morgans highly sophisticated solutions.

    Minimum Skills, Experience and Qualifications

    We are looking for someone excited to join our organization. If you meet the minimum requirements below, you are encouraged to apply to be considered for this role.

    • Graduate or undergraduate degree in a technical field, such as Math, CS, Physics, Data Science or Engineering
    • Expertise in 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
    • 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

      Additional Skills, Experience and Qualifications

      The following additional items will be considered but are not required for this role.

      • Knowledge of front end technologies like React, JavaScript, HTML and integration with large data sets
      • Good understanding of risk models (VaR, historical simulation and Monte-Carlo based models), pricing models, and product knowledge across asset classes
      • Pricing models theory or stochastic calculus is a plus
      • Working experience in Athena environment for Market Risk model implementation, infrastructure enhancement and production industrialization

Keywords: JPMorgan Chase & Co., Jersey City , Market Risk Quantitative Research - Associate, Other , Jersey City, New Jersey

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