- 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
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