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

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

25 Dec

25 Dec




- 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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