Job Location: Mumbai
The Market Risk Basel Group (MRBG) is seeking a candidate to join the MRBG Analytics team, to build and support the analytics needs for the Fundamental Review of the Trading Book (FRTB) and other Basel/capital related items. FRTB is the new Market Risk Capital Rule from the Basel Committee which is expected to be live in the next 2 years. The individual will design and code analytics tools for all of the FRTB capital components (Standardized and Internal Model approaches), will engage on the project for implementation of FRTB for the firm and also support the analysis and production of capital results required for regulatory submissions or strategic decision making. The successful candidate will partner with Quantitative Research, Market Risk Technology, Firmwide Market Risk, Market Risk Coverage, Regulatory Capital Management Office, Model Risk and Development, and Product Control teams across various deliverables.
Key Responsibilities
- Design, build and maintain next generation of Market Risk analytics modules for explaining FRTB Standardized Approach (SA) and Internal Model Approach (IMA) capital
- Analyze and explain market risk capital movements over time and across SA and IMA by leveraging existing analytics as well as by building new tools in Python
- Lead the implementation discussions for firm’s strategic FRTB build by partnering with Quant and Tech teams.
- Own strategic and tactical capital estimation processes for firm’s FRTB strategy discussions as well as for regulatory capital submissions
- Understand and validate the appropriateness of capital models and capital generation processes
- Execute market risk capital scenarios for proposed FRTB rules across all in-scope desks & products and select legal entities within the Firm
Skills & Experience
- Advanced degree (MSc, B.Tech or equivalent) in Engineering, Mathematics, Physics, Computer Science, etc.;
- Strong expertise in Python.
- Proficiency in data structures, standard algorithms and object oriented design
- Basic understanding of products across asset classes – Credit, Rates, Equities, Commodities & FX
- Strong quantitative and problem-solving skills
- Ability to multi-task and balance multiple priorities, work under pressure and manage tight deadlines.
- Self-motivated, demonstrate initiative, innovation, and solid problem solving skills. Confidence to drive issues through to completion often working to tight deadlines.
- Excellent written and verbal communications skills and a strong track record of partnership
- Strong process and control mindset
Desirables
- Experience in applying statistical and/or machine learning techniques in the financial industry
- Knowledge of options pricing theory, trading algorithms or financial regulations
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.
Submit CV To All Data Science Job Consultants Across Bharat For Free
Leave a Reply