Model Risk Governance and Review Valuation Control Group Vice President
Model Risk Governance and Review Valuation Control Group Vice President
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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 by using your expert judgement to solve real-world challenges that impact our company customers and communities. Our culture 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 a global team of modeling experts within the firms Risk Management and Compliance team is responsible for conducting independent model review and model governance activities to help identify measure and mitigate Model Risk in the firm. The objective is to ensure that models are fit for purpose used appropriately within the business context for which they have been approved and that model users are aware of the model limitations and how they could impact business decisions. MRGR Corporate & Investment Banking (CIB) Trading covers valuation and risk-management models used within the Corporate & Investment Bank. The team focuses on Derivatives Instruments which involve some of the most complex and advanced modeling techniques used in the industry.
As a VP in MRGRs Valuation Control Group team in Risk Management and Compliance you are at the center of model review and governance activities working with a wide variety of model types and cutting-edge techniques. You will collaborate with Risk Teams Model Developers Trading and Finance contributing to the responsible growth of the firm. You help ensure models are fit for purpose used appropriately and that users understand their limitations. Together we drive excellence in risk management and support the firms business objectives.
Job responsibilities:
- Evaluate conceptual soundness of model specifications assumptions inputs testing implementation and performance metrics.
- Perform independent testing of models by replicating or building benchmark models.
- Design and implement experiments to measure the impact of model limitations and compare outputs with empirical evidence or benchmarks.
- Document model review findings and communicate them to stakeholders.
- Represent MRGR VCG in meetings with management and regulators.
- Serve as the first point of contact for model governance inquiries and escalate issues as needed.
- Provide guidance on model usage to developers users and stakeholders.
- Monitor ongoing performance testing outcomes and communicate results to stakeholders.
- Maintain model inventory and metadata for the coverage area.
- Stay current with developments in products markets models risk management practices and industry standards.
- Participate in model-related audits and regulatory examinations.
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.
Required Experience:
Chief
Employment Type
Full-Time
