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Risk Management - Market Risk - Average Daily Trading Volume Analytics - Vice President

JPMorgan Chase & Co.

JPMorgan Chase & Co.

Data Science
Jersey City, NJ, USA
Posted on Friday, May 31, 2024

Job Description

Bring your expertise to JPMorgan Chase. As part of Risk Management and Compliance, you are at the center of keeping JPMorgan Chase strong and resilient. You help the firm grow its business in a responsible way by anticipating new and emerging risks, and using your expert judgement to solve real-world challenges that impact our company, customers and communities. Our culture in Risk Management and Compliance is all about thinking outside the box, challenging the status quo and striving to be best-in-class.

As a Vice President on our Market Risk Average Daily Trading Volume (ADTV) Analytics team, you will be responsible for the development and implementation of the analytics used for ADTV calculation for various asset classes. Our team develops infrastructure to calculate ADTV with data sourced from multiple providers. You will work closely with teams in New York, London, and India and will need to be proactive to develop and improve the market data time series analytics in the strategic market risk platform, access and learn JPMorgan’s highly sophisticated solutions. ADTV is a key input to the Strategic Stress liquidity add-on and Gross Market Concentration (GMC) risk calculations. GMC is a limit framework used by the firm’s Credit Officers to approve trades and manage concentrated positions at the counterparty level versus the size of the traded market (ADTV).

Job Responsibilities

  • Develop and enhance a robust analytics framework and infrastructure for ADTV time series data for financial instruments across multiple asset classes
  • Research and develop next-generation outlier and variance detection methodologies
  • Build outlier detection and missing data imputation tools, employing statistical tests and analyze their performance
  • Industrialize and automate the Average Daily Trading Volume production process
  • Design and develop a scalable framework that can easily onboard new data source while adapting to evolving analytics needs
  • Create, maintain and enhance APIs and statistical tools used for time series data management and visualization
  • Develop and implement front-end analytics and applications to deliver end-to-end market data solutions
  • Review code changes of team members and provide framework related guidance
  • Lead project and working group meetings with well-defined agenda and drive project deliveries with multiple stakeholders
  • Liaise and collaborate with various functions including peer Market Risk Coverage, Credit Risk and Technology partners
  • Facilitate periodic audit processes to ensure compliance with regulatory bodies

Required qualifications, capabilities, and skills

  • Bachelor's degree in a quantitative field
  • 5+ years of expertise in Python, knowledge of object-oriented programming (OOP) and experience with Numpy and Pandas
  • Experience in end-to-end delivery of cross functional projects
  • Ability to perform code optimization, debugging and reverse engineering
  • Experience in analyzing large and unstructured datasets
  • Knowledge of financial instruments and risk management principles
  • Strong analytical skills with a keen attention to detail
  • Ability to independently problem solve and take ownership for delivery
  • Ability to think critically and adapt to rapidly changing requirements
  • Excellent verbal/written communication skills and proficiency in technical documentation
  • Enthusiasm for knowledge sharing and ability to collaborate effectively

Preferred qualifications, capabilities, and skills

  • Advanced degree in Financial Engineering, Computer Science, or related quantitative field
  • Knowledge of front-end technologies like React, JS, HTML and integration with large data sets
  • Proficient in Microsoft Excel, using advanced formulas, pivot tables, etc.
  • Strategic and creative thinker when faced with problems and opportunities
  • Ability to understand business processes and their risk implications, analyze complex situations, reach appropriate conclusions and make feasible recommendations
  • Chartered Financial Analyst or Financial Risk Manager qualifications preferred