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Quantitative Research - Market Risk_Model Performance - Vice President

2.00 to 6.00 Years   Mumbai City   09 Jul, 2020
JPMorgan
Job LocationMumbai City
EducationNot Mentioned
SalaryRs 1.5 - 4.0 Lakh/Yr
IndustryBanking / Financial Services
Functional AreaMarket Research (MR)
EmploymentTypeFull-time

Job Description

Responsibilities:

  • Lead the Mumbai team for Model Performance and Time Series Management.
  • Build, maintain and enhance a robust framework covering
    • VaR model backtesting
    • P&L Attribution test (including the recently introduced FRTB requirements)
    • Understanding FRTB Rules
    • Knowledgeable in derivatives, VAR, SVaR, expected short fall
    • Good understanding of financial derivatives including Greeks
    • Time Series Management
      • New time series onboarding
      • Review of time-series, anomaly detection and resolution
      • Build tools for performing effective review of time-series across asset class
      • Work closely with Data Quality model team to enhance
      • Participate in Backbone selection analysis
      • Procedures and Governance relating to Sox & Audit
      • Identifying spurious data and correcting these data points; liaising with Market Risk Coverage/MRQR product specialist for remedial action.
  • Prepare periodic report on the time series management, model performance analysis.
  • Provide robust and comprehensive documented analysis/explanatory and present the results to MRQR, Market risk Group senior management
  • Participate in regulatory submission related to model performance output.
  • Performed model enhancements as required under model performance analysis. This will require close coordination with Model development team within Market Risk QR as well as Markets (Front office) QR.
  • Basic understanding of product knowledge across a range of asset classes Credit, Rates, Equities, Commodities & SPG
  • Working with stakeholders such as Market Risk Coverage, Model Review and Governance, MRQR product specialist & Technology teams
Overall, the candidate will need to work closely with teams in Asia-Pacific and/or London and/or New York and will need to be proactive to improve the Market Risk analytics and strategic platform, access and learn J. P. Morgan s highly sophisticated solutions,

Keyskills :
project managementautomationcost controldeliveryltdmarket risktime seriesdata qualitymusic makingrisk analyticsmodel developmentanomaly detectionproduct knowledgequantitative management

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