Rates - Quant Model Risk - VP
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. As a part of the team you will assess and help 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. Additionally, you will have an opportunity for exposure to a variety of business and functional area as well as will work closely with model developers and users.
You will be a member of the MRGR Group covering Interest Rates, and will focus on the following activities:
- 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.
- 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