Quantitative Research - Market Risk_Model Performance - Vice President | [CV-437]

Quantitative Research - Market Risk_Model Performance - Vice President | [CV-437]

25 Dec
|
JPMorgan
|
Mumbai

25 Dec

JPMorgan

Mumbai

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



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The original job offer can be found in Kit Job:
https://www.kitjob.in/job/20486645/quantitative-research-market-risk_model-performance-vice-president-cv-437-mumbai/?utm_source=html

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