Model Risk Governance and Review – Credit Derivatives Quantitative Analysis - VP

JP Morgan

Location: Greater London

Job Type: Full time


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.

Model Risk Governance and Review Group (MRGR) carries out the review of models used across the firm and model risk governance. MRGR has a global presence across New York, London, Mumbai, and Paris.

The group assesses and helps mitigate the model risk of complex models used in the context of valuation, risk measurement, the calculation of capital, and more broadly for decision-making purposes. Derivative instruments are widely used in the Bank's businesses as part of the core trading activities or for risk management purposes. Derivative instruments make extensive use of models subject to validation by MRGR. Model validation includes an evaluation of conceptual soundness; designing and conducting experiments to compare a model's prediction against actual outcomes or against the output of alternative benchmark models; and designing and monitoring model performance metrics. MRGR partners with Risk and Finance professionals and works closely with model developers and users. Team members have opportunities for exposure to a variety of business areas.

As part of the firm’s model risk management function, MRGR is also charged with developing model risk policy and control procedures, providing guidance on a model’s appropriate usage in the business context, evaluating ongoing model performance testing, and ensuring that model users are aware of the model strengths and limitations. Model manager roles within MRGR provide attractive career paths for model development and model validation quants in a dynamic setting working closely with Front Office Trading Desks, Desk Quants or Model Developers, Risk and Finance professionals, where they act as key stakeholders on day-to-day model-related risk management decisions

The role currently available lies within MRGR London and will have a focus on the review of Credit derivatives models and model risk governance.

Core responsibilities

  • Carry out model reviews: analyze conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behavior and suitability of pricing models/engines to particular products/structures.
  • Develop and implement alternative model benchmarks and compare the outcome of various models; design model performance metrics.
  • Liaise with model developers, Trading Desk, Risk and Finance professionals to provide oversight and guidance on model risk and appropriate usage, controls around model restrictions & limitations, and findings for ongoing performance assessment & testing
  • Maintain model risk control apparatus of the bank for the coverage area & serve as first point of contact
  • Keep up with the latest developments in coverage area in terms of products, markets, models, risk management practices and industry standards
  • Manage a sub-team of people carrying out review and governance.

Minimum Skills, Experience and Qualifications

We are looking for someone excited to join our organization. If you meet the minimum requirements below, you are encouraged to apply to be considered for this role.

  • Previous experience in a FO or model risk quantitative role.
  • Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis.
  • Good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives).
  • Experience with Monte Carlo and numerical methods.
  • Very strong analytical and problem solving abilities.
  • MSc, PhD or equivalent.
  • C/C++ programming, Python.
  • Inquisitive nature, ability to ask right questions and escalate issues, excellent communication skills (written and verbal).
  • Team work oriented.

Additional Skills, Experience and Qualifications

The following additional items will be considered but are not required for this role

  • Experience with Monte Carlo and numerical methods.
  • Experience with Credit derivatives
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