Quant Modeling - AssociateVice President
Quant Modeling - AssociateVice President
Employer Active
Job Alert
You will be updated with latest job alerts via email
Share
Job Alert
You will be updated with latest job alerts via email
Job Description
Are you looking for an exciting opportunity to join a dynamic and growing team in a fast paced and challenging area
As a Quant Modelling Associate in our Risk Management and Compliance team youll play a pivotal role in maintaining JPMorgan Chases strength and resilience. Youll anticipate emerging risks and use your expertise to tackle challenges affecting our company customers and communities. Youll be part of the Model Risk Governance and Review (MRGR) team responsible for independent model review and governance activities to manage Model Risk. MRGR Trading focuses on valuation and riskmanagement models used within the Corporate & Investment Bank particularly on Derivatives Instruments involving complex and advanced modeling techniques.
Job responsibilities:
Model Review
- Evaluate 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
- Perform independent testing of models by replicating or building benchmark models
- Design and implement 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
- Document the model review findings and communicate them to stakeholders
Model Governance
- Serve as the first point of contact for model governance related inquiries for the coverage area and help identify and escalate issues to ensure that their resolutions are sound and timely
- Provide guidance on the appropriate usage of models to model developers users and other stakeholders in the firm
- Stay abreast of the ongoing performance testing outcomes for models used in the coverage area and communicate those outcomes to stakeholders
- Maintain the model inventory and model metadata for the coverage area
- Keep up with the latest developments in coverage area in terms of products markets models risk management practices and industry standards
Required qualifications capabilities and skills:
- PhD or Masters degree in a quantitative discipline such as Math Physics Engineering Computer Science Economics or Finance
- Excellence in probability theory stochastic processes statistical/economic modeling partial differential equations and numerical analysis.
- Understanding of options and derivative pricing theory and risks
- Proficient in Python R Matlab C or other programming languages
- Risk and control mindset: ability to ask incisive questions assess materiality of model issues and escalate issues appropriately
- Strong communication skills with the ability to interface with front office traders and other functional areas in the firm on modelrelated issues; and produce documents for internal and external (regulatory) consumption
- Strong analytical and problemsolving abilities
Required Experience:
Chief
Employment Type
Full-Time
