Lead Quantitative Analyst

3 weeks ago

London, Greater London, United Kingdom JP Morgan Chase Bank, National Association Full time
Position Overview

The Model Risk Governance and Review (MRGR) team at J.P. Morgan is a distinguished group of modeling specialists dedicated to the firm's Risk Management and Compliance framework. This team plays a pivotal role in executing independent evaluations and governance of models to effectively identify, assess, and mitigate Model Risk across the organization. Within MRGR, the Counterparty Credit Risk (CCR) team is tasked with overseeing model risks associated with XVA and Counterparty Credit Risk models for extensive derivatives portfolios.

As a Vice President in Quantitative Modeling for Counterparty Credit Risk within the MRGR Credit Portfolio team, you will spearhead the creation and enhancement of a benchmarking library and associated tools. This initiative aims to bolster the model validation team's capacity to conduct independent testing of models utilized in the CCR domain. Your technical acumen and analytical prowess will be essential in identifying and evaluating model risks across various component models, including risk factor simulation engines and derivatives pricing models, as well as collateral and exposure aggregation models pertinent to the CCR landscape.

Key Responsibilities
  • Direct the development of the CCR benchmarking library and independent testing tools, ensuring they are scalable, high-performing, reusable, and compatible with existing infrastructures.
  • Oversee a diverse team of contributors and development streams, providing technical direction and facilitating the integration of their components.
  • Conduct regular code assessments, uphold the standards of the core library, and ensure adherence to best practices in development, testing coverage, and change management.
  • Engage in model review initiatives, evaluating the conceptual integrity of models, the adequacy of testing to support model assumptions, and the accuracy of implementations, while challenging quantifications of model limitations and assessing performance metrics.
  • Design and execute experiments to investigate various facets of model risk, including the development of relevant benchmarks, measurement of model performance in actual or hypothetical scenarios, and identification of conditions with elevated model risk.
  • Stay abreast of the latest literature and advancements in the field, identifying promising opportunities to enhance the library's capabilities and improve computational performance.
  • Collaborate with Front Office, Quantitative Analysts, Counterparty Credit Risk management, Finance, and Valuation Control teams to understand business applications, areas of interest for in-depth analysis, and to communicate findings from model reviews and independent testing efforts.
Required Qualifications and Skills
  • Extensive experience in developing and implementing complex models, along with conducting performance analysis in a quantitative research or model review capacity.
  • PhD or MS degree in Mathematics, Mathematical Finance, Physics, Computer Science, Engineering, or a related field.
  • Advanced proficiency in Python and comprehensive knowledge of high-performance computing packages, profiling tools, and memory management.
  • Solid understanding of parallel computing architectures, with experience in optimizing code for multi-core processors, GPUs, and distributed environments.
  • In-depth knowledge of numerical methods utilized in calibration, optimization, and Monte Carlo simulation, with experience in reducing computational complexity.
  • Excellent communication skills and a collaborative mindset.
  • Curiosity-driven approach, with the ability to ask pertinent questions and escalate issues as necessary.
Preferred Qualifications
  • Familiarity with the Counterparty Credit Risk domain and associated models.
  • Experience working with TensorFlow and other machine learning frameworks.
About J.P. Morgan

J.P. Morgan is a leading global financial services firm, providing strategic advice and products to prominent corporations, governments, wealthy individuals, and institutional investors. Our commitment to delivering exceptional service drives our operations, and we aim to build long-lasting partnerships that assist our clients in achieving their business goals.

We recognize that our workforce is our greatest asset, and the diverse talents of our employees are integral to our success. We are an equal opportunity employer, valuing diversity and inclusion within our organization. We do not discriminate based on any protected attribute and are committed to providing reasonable accommodations for applicants and employees as needed.

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