Quant Model Risk Associate Commodities
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Job Summary
We are looking for a new member to join our Commodities team in the Model Risk Governance and Review Group which is responsible for end-to-end model risk management across the firm. We adopt a comprehensive model risk management approach assessing models within their usage context and based on relevant success criteria. Our role involves identifying limitations communicating them effectively and assisting model users in the design compensating controls. This approach requires strong technical skills and business understanding offering an excellent opportunity for skill development setting us apart from typical validation teams.
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. Unlike the theoretical empowerment seen at some banks our team is truly empowered to challenge front office models ensuring they meet rigorous standards before being used in production. The bank genuinely values our role in providing effective independent challenge prioritizes model adequacy and fitness for purpose over business opportunities when needed.
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
- Experiencewithcommodity 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
