Model Risk

2 weeks ago

London, United Kingdom JPMorgan Chase Bank, N.A. Full time

As part of Risk Management and Compliance, you are at the center of keeping JPMorgan Chase strong and resilient. You help the firm grow its business in a responsible way by anticipating new and emerging risks, and by using your expert judgement to solve real-world challenges that impact our company, customers and communities. Our culture in Risk Management and Compliance is all about thinking outside the box, challenging the status quo and striving to be best-in-class.

Model Risk Governance and Review (MRGR) is a global team of modeling experts within the firm's Risk Management and Compliance organization. The team is responsible for conducting independent model review and model governance activities to help identify, measure, and mitigate Model Risk in the firm. The objective is to ensure that models are fit for purpose, used appropriately within the business context for which they have been approved, and that model users are aware of the model limitations and how they could impact business decisions.

MRGR Market Risk covers the market risk management and capital models used within the Corporate & Investment Bank. The team focuses on a variety of models including value-at-risk and market risk forecasting models, which involve a wide range of statistical and modelling techniques.

As an associate in MRGR Market Risk, you will get hands-on experience with the firm's model review and governance activities with exposure to a broad range of model types and cutting-edge modeling techniques. You will have the insight into a wide spectrum of trading businesses and work closely with other risk teams, model developers, and users all of whom play a key role in the day-to-day management of model risk.
- Set standards for robust model development practices and enhance those standards as needed to meet evolving industry standards
- Evaluate adherence to development standards including soundness of model design, reasonableness of assumptions, reliability of inputs, completeness of testing, correctness of implementation, and suitability of performance metrics
- Identify weaknesses, limitations, and emerging risks through independent testing, building of benchmark models, and ongoing monitoring activities
- Communicate risk assessments and findings to stakeholders, and document in high quality technical reports
- Assist the firm in maintaining (i) appropriateness of ongoing model usage, and (ii) the level of aggregate model risk within risk appetite

**Minimum Skills, Experience and Qualifications**:

- A Ph.D. or Master's degree in a quantitative field such as Math, Physics, Engineering, Computer Science, Economics or Finance is required
- Good knowledge of statistics and applied mathematics.
- Strong communication skills verbally and particularly in writing, with the ability to interface with front office traders and other functional areas on model-related issues, as well as write high quality technical reports
- Understanding of Python, R, Matlab, C++, or other programming languages
- A risk and control mindset: ability to ask incisive questions, assess materiality of model issues, and escalate issues appropriately

**Additional Skills, Experience and Qualifications**

The following additional items will be considered but are not required for this role:

- Experience of value-at-risk modelling
- Knowledge of options and derivative pricing theory

J.P. Morgan is a global leader in financial services, providing strategic advice and products to the world's most prominent corporations, governments, wealthy individuals and institutional investors. Our first-class business in a first-class way approach to serving clients drives everything we do. We strive to build trusted, long-term partnerships to help our clients achieve their business objectives.

We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. In accordance with applicable law, we make reasonable accommodations for applicants' and employees' religious practices and beliefs, as well as any mental health or physical disability needs.

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