Corporate – Model Risk Governance & Review – Model Review – Quantitative Analyst – Rates – Associate

Job Description
 
Model Risk Group (MRG) carries out the review of models used across the firm. The group assesses and helps mitigate 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. Derivative instruments are widely used in the Bank’s businesses as part of the core trading activities or for risk management purposes. Derivative instruments make extensive use of models subject to validation by MRG. Model validation includes an evaluation of conceptual soundness; designing and conducting experiments to compare a model’s prediction against actual outcomes or against the output of alternative benchmark models; and designing and monitoring model performance metrics. MRG partners with Risk and Finance professionals and works closely with FO quants as well as traders. Team members have opportunities for exposure to a variety of business areas. MRG Rates is the team within MRG in charge with the review of Rates derivatives models. This is an area that has been undergoing major fundamental evolutions in the past few years: emergence of negative interest rates, abandon of the single-curve pricing approach, apparition of bases between centralized counterparties. This also coincides with renewed interest in products that have proved challenging to model in the past, such as long dated FX, hybrid exotics with early termination features, and insurance derivatives involving mortality modelling.
 
Core responsibilities
 

Carry out model reviews: analyze conceptual soundness of complex pricing models, engines, and
reserve methodologies; assess model behaviour and suitability of pricing models/engines to particular products/structures;

Develop and implement alternative model benchmarks and compare the outcome of various models;

Design model performance metrics

Liaise with FO quants, traders, Risk and Valuation Control Groups and provide guidance on model risk.Essential Skills, Experience and Qualifications

Excellence in probability theory, stochastic processes, statistics, partial differential equations, and

numerical analysis.

Very strong analytical and problem solving abilities.

PhD or equivalent

C/C++ programming, Visual Basic.

Inquisitive nature, ability to ask right questions and escalate issues, excellent communication skills (written and verbal)

Team work oriented.

Very good understanding of option pricing theory (i.e. quantitative models for pricing and hedging

derivatives)Desirable Skills, Experience and Qualifications

Trading desk support, model validation, or model design experience.

Experience with Monte Carlo and numericalJPMorgan Chase & Co. offers an exceptional benefits program and a highly competitive compensation package. JPMorgan Chase & Co. is an Equal Opportunity Employer.