Quantitative Research Market Risk Modeling and Analytics

Job Description

OpportunityWe are looking for an experienced candidate to join our team in Mumbai. The Market Risk QR (MRQR) teams mission is to build the models and infrastructure used for the risk management of Market Risk. This includes Value at Risk (VaR) and Stress testing models and also regulatory risk models like Fundamental Review of Trading Book (FRTB). The team in Mumbai therefore plays a critical role in Global MRQR initiatives. We also work closely with Market Risk Management group to develop tools and utilities for model development and risk management purposes. This particular role is focused on the front-end analytics and application development and enhancement to provide end-to-end market risk solutions to front office traders and risk managers. In addition, we are providing on job training, intensive internal classroom training, and online courses, all given by our experienced quants. Through the diversity of the businesses it supports and the variety of functions that it is responsible for, Quantitative Research group provides unique growth opportunities for you to develop your abilities and your career. We make reasonable accommodations for applicants and employees religious practices and beliefs, as well as any mental and physical health needs or particular family considerations.If you are passionate, curious and ready to make an impact, we are looking for you.Your Impact You ll contribute to the firm s product innovation, effective risk management, financial risk controls. Specially, you ll have the chance to:
• Work on the implementation of the next generation of Market Risk analytics platform;
• Use the latest technologies to build end-to-end Market Risk solutions;
• Develop and implement front-end analytics and applications for VaR/Stress/FRTB;
• Collaborate with front office traders and risk managers and come up with analytical solutions;
• Improve performance and scalability of analytics algorithms;
• Develop and enhance mathematical models for VaR/Stress/FRTB;
• Design efficient numerical algorithms and implementing high performance computing solutions;
• Design and develop software frameworks for analytics and their delivery to systems and applications.
About You
• Graduate degree (B.Tech or equivalent) in Engineering, Computer Science, etc.;
• You bring expertise in Python or any other object oriented programming language;
• You are familiar with any of the front-end technologies like React, JavaScript, Angular, HTML, CSS, etc.;
• You have collaborated with multiple stakeholders for user requirements, app demo, etc.;
• You demonstrate proficiency in data structures, standard algorithms and object oriented design;
• You understand the different types of risk and you can discuss in basic ways of managing these risks;
• You have basic understanding of product knowledge across a range of asset classes Credit, Rates, Equities, Commodities, FX & SPG;
• You re interested in applying agile development practices;
• You demonstrate quantitative and problem-solving skills as well as research skills;
• You understand basic mathematics such as statistics, probability theory;
• You demonstrate good interpersonal and communication skills, ability to work in a group;
• You re attentive to detail and easily adaptable;
Desirables
• Graduate degree (B.Tech or equivalent) in Engineering, Computer Science, etc.;
• Excellent knowledge on data analysis tools in python like Pandas, Numpy, Scipy etc;
• Knowledge of front end technologies like React, JavaScript, HTML and integration with large data sets;
• Experience using multi-threading, GPU, MPI, grid, or other HPC technologies;
• Basic understanding of product knowledge across a range of asset classes;
• Understand basic mathematics such as statistics, probability theory;
• Understand the different types of risk and basics of risk management;
• Knowledge of options pricing theory, trading algorithms or financial regulations is a plus;
• Knowledge of advanced mathematics such as stochastic calculus is a plus;
Beyond that, we re interested in the things that make you unique: personal qualities, outside interests and achievements beyond academia and profession that demonstrate the kind of person you are and the differences you could bring to the team.About Us J.P. Morgan is a global leader in financial services, providing strategic advice and products to the world s most prominent corporations, governments, wealthy individuals and institutional investors. Our first-class business in a first-class way approach to serving clients drives everything we do. We strive to build trusted, long-term partnerships to help our clients achieve their business objectives.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.About the Team The Corporate & Investment Bank is a global leader across investment banking, wholesale payments, markets and securities services. The world s most important corporations, governments and institutions entrust us with their business in more than 100 countries. We provide strategic advice, raise capital, manage risk and extend liquidity in markets around the world.Clients turn to our industry-leading Markets, Sales and Research team to offer clients unique market insights on sectors and companies, and actionable ideas using research to make well-informed investment decisions. Teams understand products across asset classes and help clients structure solutions that manage risk, enhance yield and solve complex financial problems,

Keyskills :
value at riskobject oriented designmarket risk managementhigh performance computingobject oriented programmingfront endmarket riskrisk modelsfront officedata analysis