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Company Chase & Co. (NYSE: JPM) is a leading global financial services firm with assets of $2.5 trillion and operations worldwide. The firm is a leader in investment banking, financial services for consumers and small business, commercial banking, financial transaction processing, and asset management. A component of the Dow Jones Industrial Average, Company Chase & Co. serves millions of consumers in the United States and many of the world's most prominent corporate, institutional and government clients under its Company and Chase brands. Information about Company Chase & Co. is available at Company website
Duties:Assess and help mitigate the risk of derivate models used in the context of valuation, risk measurement, capital adequacy requirements and, more broadly, internal decision-making. Work on VaR modeling for securitized products, equity and credit products. Independently review, analyze and test models used for pricing and risk management across various trading products, such as credit derivatives, structured and rates products. Assess model behavior and its suitability to particular products/structures. Assess appropriateness of the model’s output risk sensitivities and quantify materiality of suggested model improvements. Liaise with front office quants, traders, risk and finance professionals and provide guidance on model risk. Cogently document analysis findings resulting in model approval or disapproval. Maintain effective challenge, critical thinking, independence and strong compliance to policy and procedures in model review activities. Effectively handle business priorities to complete high quality model review work and support regulatory or audit requests.
Minimum education required:Master’s degree or equivalent in Mathematics, Operations Research, Engineering, Statistics, Finance, or related field.
Minimumexperience required:3 years of experience in derivative modeling, VaR computation, regulatory and audit interaction, or related experience.
Must have derivative modeling experience. Must have model validation experience. Must have Python or C++ programming experience. Must have experience with Profit/Loss attribution process. Must have demonstrated SR11-07 regulatory knowledge. Must have experience with model documentation and presentation skills. Must have experience with statistical analysis skills, such as time series analysis and data mining skills. Must have market risk management experience, such as VaR-at-Risk. Employer will accept any amount of professional experience with the required skills.
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