|Job Type:||Full Time|
- 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.
- Model Risk Group (MRG) carries out the reviews 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.
- Carrying out model validation and designing model risk measurement activities, for models used to value and risk manage CVA/DVA/FVA valuation adjustments, compute Counterparty Credit Risk (CCR) monitoring metrics and capital requirements.
o Model reviews: evaluate the conceptual soundness of pricing engines and its suitability for capturing risk; the reasonableness of assumptions and reliability of inputs; the consistency of approaches used across products and asset classes; the completeness of the testing performed to support the methodology choices and the correctness of the implementation; the suitability and comprehensiveness of performance metrics and risk measures associated with the use of the model. The scope of models naturally covers a variety of asset classes and model usages.
o Model risk measurement: design and implement experiments to measure on-going model performance, the potential impact of model limitations, parameter estimation error or deviations from model assumptions; compare model outputs with empirical evidence and/or outputs from alternative model benchmarks
- Liaise with FO, Quants, Market Risk and Valuation Control Groups to understand usage of models within the business context, assess models’ fit-for-purpose for specific portfolios and netting sets and syndicate the findings of model validation
Essential skills, experience, and qualifications:
- PhD or MS degree in a quantitative areas (Math Finance, Applied Math, Physics, Engineering, Statistics/Econometrics or similar)
- Relevant experience in quantitative research, model development or model validation of derivative pricing or capital models in a financial institution
- Deep understanding of pricing models and their limitations, valuation under the risk-neutral as well as physical measures, hedging and risk management
- Excellent analytical and problem solving abilities
- Excellent communication skills (written and verbal)
- Inquisitive nature, ability to ask right questions and escalate issues; risk & control mind-set
- Programming experience (Python/C++)
Desirable skills, experience, and qualifications:
- Good understanding of counterparty risk space and models used to compute CCR/XVA quantities
- Programming experience (Python/C++).
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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.