Quant Model Risk Associate - Interest Rates
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Job Location:
Monthly Salary:
Posted on:
30+ days ago
Vacancies:
1 Vacancy
Job Summary
We are looking for a new member to join our Interest Rates team in the Model Risk Governance and Review Group which is responsible for end-to-end model risk management across the firm.
As a Quant Model Risk Associate in Model Risk Governance team you will assessand helpmitigate 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 withmodel developers and users.
Job responsibilities
- Carryoutmodelreviews:analyzeconceptualsoundnessof complex pricingmodelsenginesandreservemethodologies;assessmodelbehaviorandsuitabilityof pricingmodels/enginestoparticularproducts/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
- Developandimplementalternativemodelbenchmarksandcompare theoutcomeofvariousmodels;Designmodelperformancemetrics
- Liaisewithmodel developersRiskandValuationControlGroupsandprovideguidanceonmodelrisk
- Evaluate model performance on a regular basis
Required qualifications capabilities and skills
- Excellenceinprobabilitytheorystochasticprocessesstatisticspartialdifferentialequationsandnumericalanalysis
- MSc PhD orequivalent in a quantitative discipline
- Inquisitivenatureabilitytoaskrightquestionsandescalateissues
- Excellentcommunicationskills(writtenandverbal)
- Goodunderstandingof optionpricingtheory()
- Good coding skills for example in C/Cor Python
Preferred qualifications capabilities and skills
- Experiencewithinterest rates derivatives
- Experience in a FO or model risk quantitative role.
Required Experience:
IC
Key Skills
- Python
- C/C++
- Fortran
- R
- Data Mining
- Matlab
- Data Modeling
- Laboratory Techniques
- MongoDB
- SAS
- Systems Analysis
- Dancing
About Company
JPMorganChase, one of the oldest financial institutions, offers innovative financial solutions to millions of consumers, small businesses and many of the world’s most prominent corporate, institutional and government clients under the J.P. Morgan and Chase brands. Our history spans ov ... View more
