Corporate – Model Risk Governance and Review – Model Review Group – Market Risk Capital – Associate

Location:Greater London
Job Type:Full Time
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Corporate – Model Risk Governance and Review – Model Review Group – Market Risk Capital – VP/Associate
The Model Review Group (MRG) carries out the independent review of models used across the firm. The group assesses and helps mitigate the model risk of complex models used in the context of valuation, risk measurement, the calculation of capital, and more broadly for decision-making purposes.
Model validation includes an evaluation of conceptual soundness; a critical assessment of the testing performed by model developers to support the integrity and accuracy of the model implementation and its fit-for-purpose; designing and conducting experiments to evaluate the model’s predictive power and its robustness to a range of market environments, and to identify significant sources of bias or uncertainty through the development and use of alternative benchmark models.
MRG works closely with quants, Risk Management and Finance professionals, as well as other stakeholders from across the bank. Team members have opportunities for exposure to a variety of business areas.
Core responsibilities
  • Contribute to a variety of model reviews (e.g. risk factor reviews, product representation reviews) across the Market Risk Capital space
  • Conduct assessments of the ongoing performance of the models
  • Maintain an up-to-date knowledge of regulatory expectations as they relate to the space

Essential Skills, Experience and Qualifications

  • In-depth understanding of probability theory, stochastic processes, partial differential equations, numerical analysis

  • Strong analytical and problem solving abilities

  • PhD or equivalent in a related field

  • Experience in model development or validation of derivatives pricing or market risk capital models

  • Inquisitive nature, risk mindset, ability to ask pertinent questions and to escalate issues

  • Excellent communication skills (both written and verbal)

  • Team work oriented

Desirable Skills, Experience and Qualifications

  • Working knowledge of VaR

  • Experience with analysis of historical data

About J.P. Morgan Chase & Co:

J.P. Morgan serves one of the largest client franchises in the world. Our clients include corporations, institutional investors, hedge funds, governments and affluent individuals in more than 100 countries. J.P. Morgan is part of JPMorgan Chase & Co. (NYSE: JPM), a leading global financial services firm with assets of $2.1 trillion. The firm is a leader in investment banking, financial services for consumers, small business and commercial banking, financial transaction processing, asset management, and private equity. A component of the Dow Jones Industrial Average, JPMorgan Chase serves millions of clients and consumers under its JPMorgan and Chase, and WaMu brands.

JPMorgan Chase & Co. offers an exceptional benefits program and a highly competitive compensation package. JPMorgan Chase & Co. is an Equal Opportunity Employer and a member of the UK Government’s Disability Confident Scheme.

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