Model Risk Governance and Review Group – Quant Model Risk – Vice President

JP Morgan

Location: Greater London

Job Type: Full time

Posted


Join the Risk Management and Compliance team at JPMorgan Chase, where you'll play a pivotal role in maintaining our strength and resilience. You'll anticipate emerging risks and use your expertise to tackle challenges affecting our company, customers, and communities. As part of the Model Risk Governance and Review (MRGR) team, you'll conduct independent model reviews and governance activities to mitigate Model Risk. You'll ensure models are fit for purpose and used appropriately, keeping users informed of limitations. The MRGR Corporate & Investment Banking (CIB) Trading team focuses on Derivatives Instruments, employing some of the industry's most advanced modeling techniques.

As a Vice President in MRGR’s Valuation Control Group team (VCG), you will be at the center of the firm’s model review and governance activities with exposure to a wide variety of model types and cutting-edge modeling techniques. You will have exposure to a variety of business areas and work closely with other Risk Teams, Model Developers, Trading, and Finance, who are all key stakeholders in the day-to-day management of model risk.

Job responsibilities

  • Evaluates conceptual soundness of model specifications, reasonableness of assumptions, reliability of inputs, completeness of testing, correctness of implementation, and suitability and comprehensiveness of performance metrics and risk measures.
  • Performs independent testing of models by replicating or building benchmark models.
  • Designs and implements experiments to measure the potential impact of model limitations, parameter estimation errors, and deviations from model assumptions; compare model outputs with empirical evidence or outputs from model benchmarks.
  • Documents the model review findings and communicates them to stakeholders.
  • Helps represent MRGR VCG in meetings with VCG, management and regulators.
  • Helps develop the MRGR VCG team.
  • Manages Model Governance activities, including: serving as the first point of contact for model governance related inquiries for the coverage area, and helping identify and escalate issues to ensure that their resolutions are sound and timely; providing guidance on the appropriate usage of models to model developers, users, and other stakeholders in the firm; staying abreast of the ongoing performance testing outcomes for models used in the coverage area, and communicate those outcomes to stakeholders, maintaining the model inventory and model metadata for the coverage area, keeping up with the latest developments in coverage area in terms of products, markets, models, risk management practices, and industry standards, participating in model-related audits and regulatory examinations of the coverage area.

Required qualifications, capabilities, and skills

  • Excellent written and verbal communication skills.
  • Experience in a modeling or validation role.
  • Strong analytical and problem-solving abilities.
  • Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis. Understanding of options and derivative pricing theory and risks.
  • Strong Risk and control mindset. Experience with Risk Policies and Procedures.
  • Good comprehension skills, an inquisitive nature, ability to ask salient questions, assess materiality of model issues, and escalate issues appropriately.
  • The ability to interface with front office and functional areas in the firm on model-related issues; produce documents for internal and external (regulatory) consumption.


Preferred qualifications, capabilities and skills

  • Some previous managerial experience.
  • Some prior knowledge of VCG methodologies (in particular, Fair Value Adjustments and Prudent Valuation Adjustments).
  • Experience interacting with regulators.
  • Good team player with experience working with other teams around tight deadlines.
  • Demonstrate project management and organization skills: flexible, adaptable to shifting priorities to achieve the most effective result and able to work in a fast-paced, results-driven environment.
  • Proficient in Python, R, Matlab, C++, or other programming languages.