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Vice President - GMG - Model Risk and Development-Mumbai

Job Description

Global Markets Group Mumbai

 

Global Markets: Profile for Model Risk and Model Development

 

J.P. Morgan’s Global Markets Group (GMG) in Mumbai was set up in 2014 as an extension of the Firm’s Global Markets teams around the world. GMG is a fast growing team covering multiple asset classes across geographies. Deeply integrated with our Global Markets business, the team facilitates deals and transactions by providing vital research and insights for supporting Sales, Structuring and Trading functions across asset classes and geographies.

This position is a Quant profile to support the activities of the Model Risk & Development (MRaD) Group in New York, sitting out of GMG in Mumbai. The MRaD plays a critical role in providing effective, timely and independent assessments of the Firm’s most important Models.

The prime responsibilities for this role will include:

Model Review: Independent quantitative evaluation of the most complex and technical models, focusing on back-testing and benchmarking and would cover methodology, construction and testing of models.

Model Governance: Establish and maintain a strong, vigorous model validation and review process to help the firm identify and manage model risk. Function would also involve review of models for usage, controls, operational soundness and validation

Model Quality Assurance and Validation: Ensure quality and consistency and appropriate scope for model reviews across all model reviewers and LOBs. Conduct Gap Analysis of models. Validate Capital Risk models through full simulation and empirical back-testing and comparison of performance of risk models to appropriate benchmark models

Reporting and Compliance: Familiarity with internal and regulatory guidelines on Model Risk assessment and Reporting; Implementation of remediations; SOX testing; Reviewing the process of Model Review

Team management: Responsible for setting up a team of 10-15 members in Mumbai to support the global desks including training & knowledge management.

The candidate will need to work very closely with MRaD team in New York, London and HK, supporting them as a direct extension.

Ideal candidates roles would be Graduates/Post-Graduates with good academic record from top Colleges like IITs (Engg./Stats./Math./Economics) with relevant experience of atleast 5-7 years in similar roles in Model review and development.

Essential Skills:
  • Product knowledge : Good understanding of across a broad array of products used in Markets like Interest Rate/Currency Swaps, Options, Derivatives and Hybrids, as well as across asset classes like Loans, Mortgages, Consumer lending products, and Equity & Commodity transactions
  •  Highly analytical bent of mind and quantitative skills; high level of proficiency in Excel/VBA, S, C++ / Python programming; proficiency in using statistical analysis software like Matlab, SAS and R; Monte Carlo simulation and High performance computing
  • Close attention to detail and ability to work to very high standards
  •  Good communication and team skills in a multi-location set up
  •  Experience with Stochastic calculus(SDE, PDE, FE, etc), Numerical algorithms (root finding, optimization, etc), statistical modeling (factor models, copula, Bayesian etc), Time series analysis (ARIMA, GARCH, state space models) will be advantageous
  • J.P. Morgan’s Global Markets Group (GMG) provides a challenging work environment and excellent opportunities to learn and grow both at the GMG and in the Firm’s Global network.
Interested applicants could e-mail their CV to Allavi (allavi.hasan@jpmchase.com) or Snehankita Bose (snehankita.bose@jpmorgan.com).
Req #: 160050409
Location: Mumbai, MH IN
Job Category: Sales/Trading/Research
Employment Type: Full Time
Potential Referral Amount: 50000 Indian Rupee (INR)

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