Model Review Quantitative Analysis - Associate/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 (MRGR) is responsible for end-to-end model risk management across the firm. 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. 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 and functional areas.

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.
  • Provide guidance on model usage and act as first point of contact for the business on all new models and changes to existing models.
  • Develop and implement alternative model benchmarks and compare the outcome of various models; Design model performance metrics.
  • Liaise with model developers, Risk and Valuation Control Groups and provide guidance on model risk.
  • Evaluate model performance on a regular basis.

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.

  • Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis.
  • Very strong analytical and problem solving abilities.
  • MSc, PhD or equivalent in a quantitative discipline.
  • Inquisitive nature, ability to ask right questions and escalate issues.
  • Excellent communication skills (written and verbal)
  • Good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives).
  • Good coding skills, for example in C/C++ or Python.
  • Model validation, model developer, or trading desk support experience.

Additional Skills, Experience and Qualifications

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

  • Experience with interest rates derivatives
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