Model Review Quantitative Analysis - Associate/VP

JP Morgan

Location: Greater London

Job Type: Full time


The most difficult thing is the decision to act, the rest is merely tenacity.
- Amelia Earhart

Model Risk Governance and Review – Quantitative Analyst – Associate/VP

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.

Essential Skills, Experience and Qualifications

  • 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.

Desirable Skills, Experience and Qualifications

  • Experience with interest rates derivatives
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