Quant Model Risk Rates Analyst
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Job Location:
Monthly Salary:
Posted on:
30+ days ago
Vacancies:
1 Vacancy
Job Summary
As part of Risk Management and Compliance you are at the center of keeping JPMorganChase 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 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 - Rates - Analyst 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.
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
- Minimum of 1 year of experience in a quantitative analysis role
- 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
Key Skills
- ISO 27001
- Microsoft Access
- Risk Management
- Financial Services
- PCI
- Risk Analysis
- Analysis Skills
- COBIT
- NIST Standards
- SOX
- Information Security
- Data Analysis Skills
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
