Model Risk Electronic Trading - 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.

Financial Institutions routinely use models for a broad range of activities including analyzing business strategies, informing business decisions, identifying and measuring risk, valuing exposures or instruments, hedging derivative positions, conducting stress testing, assessing capital adequacy, managing clients assets, informing investment process, measuring compliance with internal limits, maintaining the formal control apparatus of the bank, meeting financial or regulatory reporting requirements and issuing public disclosures. Model Risk arises from the potential adverse consequences of making decisions based on incorrect or misused model outputs and reports, leading to financial loss, poor business decision making, or reputational damage.

As part of the firm’s model risk management function, Model Risk Governance and Review (MRGR) is charged with developing model risk policy and control procedures, performing model validation activities, 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 as well as conduct independent model validation of new and existing models.

Core responsibilities:

The successful candidate will be a member of the MRGR Group covering E-Trading across all asset classes, and will focus on the following activities:

  • Engage in new model validation activities for all E-Trading models in the coverage area - evaluate conceptual soundness of model specification; reasonableness of assumptions and reliability of inputs; fit for purpose; completeness of testing performed to support the correctness of the implementation; robustness of numerical aspects; suitability and comprehensiveness of performance metrics and risk measures associated with use of model.
  • Conduct independent testing
  • Perform additional model review activities ranging from proposed enhancements to existing models, extensions to scope of existing models.
  • Liaise with Trading Desk, Risk and Finance professionals to provide oversight of and guidance on 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

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.

  • Strong quantitative & analytical skills: The role requires a strong quantitative background based on a PhD or Master’s degree (or equivalent) in a quantitative discipline such as Mathematics, Statistics, Science, Economics, Engineering, Math Finance.

  • Domain expertise in following areas: Expertise in Statistics, Math Finance, Machine Learning. Knowledge and experience in algorithmic trading/market making strategies such as transaction cost analysis, dark order execution, order placement, price signals.

  • Prior experience in following backgrounds: Quantitative Model Development, Model Validation, Trading or Technology focused on E-Trading including automated execution/market-making algorithms.

  • Prior experience in coding and data processing: Python and kdb+

  • Excellent writing skills: previous experience in writing scientific text with the ability to describe evidence and present logical reasoning clearly.

  • Strong communication skills and ability to interface with other functional areas in the bank on model-related issues

  • Risk and control mindset: ability to ask incisive questions, converge on critical matters, assess materiality and escalate issues

Additional Skills, Experience and Qualifications

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

  • Derivatives pricing knowledge is an asset. Experience in one or more of the following asset classes: Interest Rate/Credit /Equity/FX/Commodity

You’ve got this!