Quantitative Market Risk Modeler - Fixed Income

Testing Site - JPMC; New York (NY); On-site; USD 120,000 - 180,000; Full time

Job summary

JPMorgan Chase in New York is seeking a Quantitative Analyst for the Market Risk Model Development team. You will design and implement models used for risk management and regulatory compliance, working with Front Office model developers and technology partners to ensure robust, defensible results.

The role emphasizes advanced statistical analysis, model validation, and clear communication to risk managers and regulators, with a path to contribute to significant decisions affecting markets and

Qualifications

• Minimum 3 years of professional experience as a quantitative analyst in model development, validation, or quantitative risk management for Fixed Income trading.
• Strong foundation in probability theory, time series analysis, and statistics as applied to financial modeling.
• Proficiency in Python with experience handling large datasets and using libraries such as pandas, scipy, sklearn, and Jupyter.
• Excellent verbal and written communication skills, with the ability to present complex concepts to both technical and non-technical audiences.

Responsibilities

• Apply advanced statistical analysis to historical market data to specify and implement models for VaR, regulatory capital, and stress testing of Fixed Income portfolios.
• Devise statistical tests to evaluate model performance and quantify the impact of alternative modeling assumptions.
• Interpret regulatory pronouncements and translate them into actionable model specifications.
• Coordinate model implementation with Front Office model developers and Technology partners.
• Explain model behavior to Risk managers, Trading desk personnel, and Regulators.
• Establish comprehensive model documentation and liaise with Model Risk Governance for model validation.
• Assess model risk issues and devise compensating controls when necessary.

Skills

Probability theory

Time series analysis

Statistics

Python programming

Communication

Education

PhD or Master’s degree in a related field

Tools

pandas

scipy

scikit-learn

Jupyter

Job description

JPMorgan Chase in New York is seeking a Quantitative Analyst for the Market Risk Model Development team. You will design and implement models used for risk management and regulatory compliance, working with Front Office model developers and technology partners to ensure robust, defensible results.

The role emphasizes advanced statistical analysis, model validation, and clear communication to risk managers and regulators, with a path to contribute to significant decisions affecting markets and