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.
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.
Pricing and risk measurement models for financial derivatives products traded by the Investment Bank (IB) client businesses are one of the areas of focus for MRG. Sound usage of these models requires a deep understanding of the theoretical underpinnings, expertise of the underlying markets used to manage risk, and an understanding of model performance in different regimes.
This team carries out model validation activities and works closely with Risk, Finance and FO professionals to review model validation findings, on-going model risk measurement and risk mitigating strategies
• Carry out model validation activities, including model reviews and model risk measurement projects, for market risk capital models (such as Value-at-Risk, Specific Risk, Stress VBM, Comprehensive Risk Measure, Incremental Risk Capital) across a variety of asset classes:
• Liaise with FO, Quants, Market Risk and Valuation Control Groups to understand usage of models in the business and syndicate the findings of model validation
Essential skills and experience:
· Relevant experience in quantitative research, model development or model validation of capital or derivative pricing models in a financial institution.
· PhD or MS degree in a quantitative areas (Math Finance, Statistics, Applied Math, Physics, Computer Science, Engineering or similar).
· Good command of statistics and some experience with econometric analysis of time series.
· Excellent analytical and problem solving abilities.
· Deep understanding of financial mathematics and risk-neutral pricing.
· Inquisitive nature, ability to ask right questions and escalate issues. Risk & Control mindset.
· Excellent communication skills (written and verbal).
. Team work oriented.
All internal moves will normally take place on the same grade and same salary. Salaries are reviewed annually in February. Exceptions to the rule regarding transfer on current salary may include a move between geographic locations.
Please note that J.P. Morgan will not accept unsolicited approaches or speculative CVs, nor will J.P. Morgan be responsible for any related fees, from Third Party Firms who are not preferred suppliers.
The firm invites all interested and qualified candidates to apply for employment opportunities.
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