Equity - Quant Model Risk - Associate / Vice President

2 weeks ago

United Kingdom JPMorgan Chase & Co. Full time

Model Risk Governance and Review Group (MRGR) carries out the review of models used across the firm and model risk governance. MRGR has a global presence across New York, London, Mumbai, and Paris.

As a Quant Model Risk Associate / Vice President in MRGR team, you can expect to deal with developing model risk policy and control procedures, providing guidance on a model’s appropriate usage in the business context, evaluating ongoing model performance testing, and ensuring that model users are aware of the model strengths and limitations.

Model manager roles within MRGR provide attractive career paths for you as model development and model validation quant in a dynamic setting working closely with Front Office Trading Desks, Desk Quants or Model Developers, Risk and Finance professionals, where they act as key stakeholders on day-to-day model-related risk management decisions as well as conduct independent model validation of new and existing models.

Job responsibilities

You will be a member of the team covering equity derivatives models, and will focus on the following activities:

  • Carries out model reviews: analyzes conceptual soundness of complex pricing models, engines, and reserve methodologies; assesses model behavior and suitability of pricing models/engines to particular products/structures
  • Develops and implement alternative model benchmarks and compare the outcome of various models; design model performance metrics
  • Liaises with model developers, Trading Desk, Risk and Finance professionals to provide oversight and guidance on model risk and appropriate usage, controls around model restrictions & limitations, and findings for ongoing performance assessment & testing
  • Maintains model risk control apparatus of the bank for the coverage area & serve as first point of contact
  • Keeps up with the latest developments in coverage area in terms of products, markets, models, risk management practices and industry standards

Required qualifications, capabilities, and skills

  • Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis
  • Good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives)
  • Experience with Monte Carlo and numerical methods
  • Very strong analytical and problem solving abilities
  • MSc, PhD or equivalent
  • C/C++ programming, Python
  • Inquisitive nature, ability to ask right questions and escalate issues, excellent communication skills (written and verbal)

Preferred qualifications, capabilities, and skills

  • Experience with equity derivatives
  • Preferably with front office quant experience
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