Quant Model Risk Analyst
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Job Location:
Monthly Salary:
Posted on:
9 hours ago
Vacancies:
1 Vacancy
Job Summary
We are looking for a new member to join our 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 Analyst 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
- 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
- Liaiseswithmodel developersRiskandValuationControlGroupsandprovideguidanceonmodelrisk
- Evaluates model performance on a regular basis
Required qualifications capabilities and skills
We are looking for someone excited to join our organization. If you meet the minimum requirements below you are encouraged to apply to be considered for this role.
- Excellenceinprobabilitytheorystochasticprocessesstatisticspartialdifferentialequationsandnumericalanalysis
- MSc PhD orequivalent in a quantitative discipline
- Inquisitivenatureabilitytoaskrightquestionsandescalateissues
- Excellentcommunicationskills(writtenandverbal)
- Goodunderstandingof optionpricingtheory()
- Good coding skills for example in C/C++or Python
- 2+ years in a FO or model risk quantitative role.
Preferred qualifications capabilities and skills
The following additional items will be considered but are not required for this role:
- ExperiencewithRates derivatives
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
