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Model Review Group – MD – NY

Job Description

J.P. Morgan is a leader in financial services, offering innovative and intelligent solutions to clients in more than 100 countries with one of the most comprehensive global product platforms available. We have been helping our clients to do business and manage their wealth for more than 200 years and we keep their interests foremost in our minds at all times. This combination of product strength, intellectual capital and character sets us apart as an industry leader. J.P. Morgan is part of JPMorgan Chase & Co. (NYSE: JPM), a global financial services firm with assets of $2.0 trillion.

 

The Model Risk Governance & Review Group (MRGR) provides oversight of the firmwide Model Risk policy, guidance with respect to a model’s appropriate usage, and conducts independent reviews of models. In addition, MRGR develops internal models related to measurement of counterparty risk, economic risk capital, and regulatory risk capital measures.

 

MRGR is composed of four distinct units:  Model Development & Delivery, Model Review Group, Model Governance Group, and the Chief Operating Officer group.  Model Review Group (MRG) serves as an independent model validation function that reviews and approves a wide range of models, including risk management, valuation, and certain regulatory capital models used by the firm. 

  •  Financial Institutions routinely use models for a broad range of activities including credit underwriting, valuing financial instruments, measuring and managing risk, assessing the adequacy of reserves and capital resources, and many other applications. Model Risk arises from the potential adverse consequences of making decisions based on incorrect or misused model outputs and reports, leading to financial loss, poor business decision making, or reputational damage.
  • The Model Risk Group (MRG) is responsible for conducting model validation to help identify, measure, and mitigate Model Risk. The objective is to ensure that models are used appropriately in the business context and that model users are aware of the models' strengths and limitations and how these can impact their decisions.
  • The firm-wide risk aggregation processes make extensive use of models and assumptions to quantify the impact of market and economic shocks on the firm's capital and liquidity resources. Sound usage of these models requires broad experience with wholesale and consumer products and a deep understanding of risk models and their behaviour and performance in different economic regimes.
  • MRG carries out model validation activities and works closely with Risk and Finance senior professionals to review model validation findings.

Core responsibilities:

  • Supervise reviews of wholesale credit models used to calculate regulatory capital models, and performance of the bank’s exposures under stress.

    • Ensure that reviews cover the relevant exposures and address the appropriate technical and regulatory issues

    • Monitor model risk by addressing limitations of individual models and gaps between models

  • Liaise with Corporate Risk and Finance organization to monitor usage and performance of the models and syndicate the findings of model validation.

  • 10 years of applied quantitative research in pricing or risk modelling in one or more of the following areas: wholesale lending; consumer lending; credit derivatives.

  • PhD or MS degree in Applied Math, Physics, Economics, Engineering or similar.

  •  Deep understanding of probability theory; Strong knowledge of econometrics, statistics.

  • Experience with numerical methods.

  • Excellent analytical and problem solving abilities.

  •  Inquisitive nature, ability to ask right questions and escalate issues. Risk & Control mindset.

  •  3 years experience managing, motivating, and building a successful team.

  •  Excellent communication skills (written and verbal).

Req #: 160037466
Location: New York, NY US
Job Category: Accounting/Finance/Audit/Risk
Employment Type: Full Time
Potential Referral Amount: US Dollar (USD)

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