Quant Model Risk Associate â Rates
Quant Model Risk Associate â Rates
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Job Description
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.
As a Quant Model Risk Associate within our Risk Management team you will be responsible for assessing and mitigating the risks associated with complex models used for valuation risk measurement capital calculation and decision-making purposes. This role also provides the opportunity to gain exposure to various business and functional areas as well as collaborate closely with model developers and users. Less experienced candidates might be considered Analyst.
Job responsibilities
- Carriesoutmodelreviews:analyzeconceptualsoundnessof complex pricingmodelsenginesandreservemethodologies;assessmodelbehaviorandsuitabilityof pricingmodels/enginestoparticularproducts/structures
- Provides 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
- Document the model review findings and communicate them to stakeholders
- Liaiseswithmodel developersRiskandValuationControlGroupsandprovideguidanceonmodelrisk
- Evaluates model performance on a regular basis
Required qualifications capabilities and skills
- Minimum of a Masters degree in Quantitative Finance Mathematics Physics or a related discipline
- Excellence in probability theory stochastic processes statistics and numerical analysis
- Strong understanding of option pricing theory and quantitative models for derivatives
- Experience with Monte Carlo and numerical methods
- Strong analytical and problem-solving abilities
- Good coding skills for example in C/Cor Python
- Inquisitive nature with excellent communication skills
- Teamwork-oriented mindset
Preferred qualifications capabilities and skills
- Experiencewithpricing derivatives
- Experience in a front office or model risk quantitative role
Required Experience:
IC
Employment Type
Full-Time
