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AM Risk - Quantitative Research - Analyst

0.00 to 3.00 Years   Bangalore   12 Apr, 2021
JPMorgan
Job LocationBangalore
EducationNot Mentioned
SalaryNot Disclosed
IndustryBanking / Financial Services
Functional AreaRisk / Underwriting
EmploymentTypeFull-time

Job Description

JP Morgan Asset Management (AM) is hiring a Quantitative Risk professional to join the Asset Management Risk Analytics (AMRA) team. AMRA is a small team of experienced quantitative and market risk oriented professionals responsible for Newton, the AM Independent Risk system. Newton calculates risk across the Global Equity, Global Fixed Income and Multi-Asset LOBs within AM, and is used by the AM Investment and Counterparty Risk Managers, and the front-office.The individual will:Assist in the research and enhancement of the risk methodology for Newton. The methodology covers sensitivity, stress, VaR and factor modeling, for both investment (market) and counterparty (credit) risk.Provide risk analysis to AM Risk Managers and LOB users of Newton at both the portfolio level and security level by determining the qualitative and quantitative factors driving change in risks and exposures.Assist with performance testing on the risk pricing models, including monthly VaR backtesting and model calibration checks.The candidate must:

  • Be highly quantitative, technically proficient, detail-oriented, able to multi-task and work independently; understand financial mathematics and quantitative techniques used to measure risk at the security and portfolio levels
  • Have a good understanding of the equity and fixed income (rates and credit) products and markets, as well as related derivatives and structured/securitized products
  • Have experience pricing and evaluating risk on securities, derivatives and structured/securitized products using appropriate models
  • Possess in-depth knowledge of asset pricing models, VaR models and stress testing techniques; experience with VaR backtesting techniques and model performance testing a plus
  • Experience with RiskMetrics is a plus
  • Have 0-3 years of experience in a quantitative analysis/research role within Market/Credit Risk Management, a Front Office role or academic equivalent.
  • Quantitative degree required in Math, Engineering, Physics or equivalent
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Keyskills :
market riskfront officefixed incomerisk analysisrisk analyticsstress testingrisk managementasset managementcommercial models

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