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Rates Derivatives Quantitative Analysis - Vice President -Model Risk Governance and Review New [...]

Company: JPMorgan Chase & Co.
Location: New York
Posted on: May 28, 2023

Job Description:

Posting Description
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.
As a member of the Model Risk and Governance Review Corporate Investment Bank -Trading team, you will be at the center of the firm's model review and governance activities with exposure to a wide variety of model types and cutting-edge modeling techniques. You will have exposure to a variety of trading businesses and work closely with other Risk teams, Model Developers, traders, and Finance all of whom - play a key role in the day-to-day management of model risk.
Job Responsibilities -

  • 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

    Required qualifications, capabilities and skills

    • -Ph.D. or Master's degree in a quantitative field such as Math, Physics, Engineering, Computer Science, Economics or Finance is required
    • 3+ years of experience in a quantitative or modeling role or a PhD. Candidates with significantly more experience may be considered for more senior roles
    • 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
    • Understanding of options and derivative pricing theory and risks
    • Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis
    • Risk control mindset: ability to ask incisive questions, assess materiality of issues, and escalate issues appropriately

      Preferred qualifications, capabilities, and skill

      • Experience in Interest Rates derivatives is a plus.

Keywords: JPMorgan Chase & Co., New York , Rates Derivatives Quantitative Analysis - Vice President -Model Risk Governance and Review New [...], Executive , New York, New York

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