Corporate – Quantitative Analyst - Rates Model Validation - Associate/VP

Location:Greater London
Job Type:Full Time
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Corporate – Quantitative Analyst - Rates Model Validation - Associate/VP

Model Risk Group (MRG) carries out the 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. Derivative instruments are widely used in the Bank's businesses as part of the core trading activities or for risk management purposes. Derivative instruments make extensive use of models subject to validation by MRG. Model validation includes an evaluation of conceptual soundness; designing and conducting experiments to compare a model's prediction against actual outcomes or against the output of alternative benchmark models; and designing and monitoring model performance metrics. MRG partners with Risk and Finance professionals and works closely with FO quants as well as traders. Team members have opportunities for exposure to a variety of business areas.

Core responsibilities

  • Carry out model reviews: analyze conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behaviour and suitability of pricing models/engines to particular products/structures;
  • Develop and implement alternative model benchmarks and compare the outcome of various models; Design model performance metrics
  • Liaise with FO quants, traders, Risk and Valuation Control Groups and provide guidance on model risk.
  • Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis
  • Very strong analytical and problem solving abilities
  • PhD or equivalent
  • C/C++ programming, Visual Basic
  • Inquisitive nature, ability to ask right questions and escalate issues, excellent communication skills (written and verbal)
  • Team work oriented
  • Very good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives)

Desirable Skills, Experience and Qualifications

  • Trading desk support, model validation, or model design experience
  • Experience with Monte Carlo and numerical methods
  • Experience with exotic derivative pricing

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.