DESCRIPTION:
Duties: Design methodology for the forward simulation of risk factors in the firm's trading book for the calculation of Value at Risk (VaR) and Risk Not in VaR. Develop and implement prototype scripts to test simulation models. Specify requirements for developer and technology teams in the delivery of risk measurement solutions and manage their prioritizations. Monitor the performance of simulation models by devising and applying regulatory and internal model performance metrics, such as backtesting and other statistical tests, to ensure accuracy and compliance. Provide quantitative support to stakeholders, helping them interpret and understand the results generated by the simulation models. Assist in the remediation of model risk issues by identifying, analyzing, and resolving any deficiencies or inaccuracies in the simulation process. Continuously enhance the simulation models and expand risk coverage, including risks not currently captured in existing VaR models. Collaborate with model risk teams to ensure that simulation models adhere to regulatory guidelines and JPMorgan Chase's internal policies. Present proposed model changes to Model Risk Committees for ratification. Maintain an inventory of simulation models, including their tiering and classification to support model governance. Prepare documentation and testing results using internal templates, ensuring all model development and validation activities are recorded and auditable.
QUALIFICATIONS:
Minimum education and experience required: Master's degree in Financial Engineering, Mathematics, Statistics, Finance, Economics, or related field of study plus 3 years (36 months) of experience in the job offered or as CIB Risk, CIB MR, or related occupation.
Skills Required: This position requires experience with the following: Developing statistical simulation models for market risk management and calculating market risk measures including Value-at-Risk; Analyzing valuation models for securities and derivatives to perform profit-and-loss predictions and to explain portfolio risk metrics; Applying the theory of stochastic processes and financial time series analysis to design risk factor scenarios; Programming in Python and handling big datasets with tools for data analysis and visualization; Documenting statistical financial models; Advising internal counterparties on regulatory rules for the capitalization of trading book portfolios; Coordinating the delivery of technology solutions in financial risk modeling.
Job Location: 237 Park Ave, New York, NY, 10017.
Full-Time. Salary: $160,000 - $238,000 per year.
About UsWe offer a competitive total rewards package including base salary determined based on the role, experience, skill set and location. Those in eligible roles may receive commission-based pay and/or discretionary incentive compensation, paid in the form of cash and/or forfeitable equity, awarded in recognition of individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more. Additional details about total compensation and benefits will be provided during the hiring process.
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. We also make reasonable accommodations for applicants’ and employees’ religious practices and beliefs, as well as mental health or physical disability needs. Visit our FAQs for more information about requesting an accommodation.
JPMorgan Chase & Co. is an Equal Opportunity Employer, including Disability/Veterans
Skills Required
- Master's degree in Financial Engineering, Mathematics, Statistics, Finance, Economics, or related field
- Minimum 3 years (36 months) experience in CIB Risk, CIB MR, or related role
- Experience developing statistical simulation models for market risk management and calculating Value-at-Risk (VaR)
- Experience analyzing valuation models for securities and derivatives for P&L prediction and risk metrics
- Knowledge and application of stochastic processes and financial time series analysis to design risk-factor scenarios
- Proficiency programming in Python and handling large datasets for analysis and visualization
- Experience documenting statistical financial models and preparing auditable testing/results
- Familiarity with regulatory rules for trading book capitalization and coordinating delivery with technology teams
JPMorganChase Compensation & Benefits Highlights
The following summarizes recurring compensation and benefits themes identified from responses generated by popular LLMs to common candidate questions about JPMorganChase and has not been reviewed or approved by JPMorganChase.
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Healthcare Strength — Medical, dental, vision, and mental-health coverage are broad, with wellness incentives, on-site or virtual care, and an EAP offering coaching and counseling. Plan materials emphasize accessible options, including multiple medical choices and tools to manage costs.
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Parental & Family Support — Paid parental leave extends up to 16 weeks for all parents, supplemented by paid Critical Caregiver Leave. Family resources include backup childcare via Bright Horizons, lactation support and milk-shipping, family-building assistance, and even a free five-month SNOO rental for newborns.
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Retirement Support — Retirement programs include a 401(k) with an annual company match and automatic pay credits for most employees, with a legacy pension available to earlier hires. An Employee Stock Purchase Plan at a 5% discount further supports long-term savings.
JPMorganChase Insights
What We Do
JPMorgan Chase & Co. (NYSE: JPM) is a leading global financial services firm with assets of $3.7 trillion and operations worldwide. The firm is a leader in investment banking, financial services for consumers and small businesses, commercial banking, financial transaction processing, and asset management. A component of the Dow Jones Industrial Average, JPMorgan Chase & Co. serves millions of consumers in the United States and many of the world’s most prominent corporate, institutional and government clients under its J.P. Morgan and Chase brands. Technology fuels every aspect of our company and is at the heart of everything we do. With over 50,000 technologists globally and an annual tech spend of $12 billion, we are dedicated to improving the design, analytics, development, coding, testing and application programming that goes into creating high quality software and new products. Learn more about technology at our firm, explore resources from our Distinguished Engineers, AI & ML researchers, and other experts; access the latest episode of our TechTrends podcast, and more at www.jpmorgan.com/technology. Information about JPMorgan Chase & Co. is available at www.jpmorganchase.com. ©2023 JPMorgan Chase & Co. All rights reserved. JPMorgan Chase is an Equal Opportunity Employer, including Disability/Veterans.
Why Work With Us
Our technologists work on a diverse range of solutions that include strategic technology initiatives, big data, mobile, electronic payments, machine learning, cybersecurity, enterprise cloud development, and other state-of-the-art technologies.
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