JP Morgan Chase - Associate - Model Risk Foreign Exchange/Commodity/Credit Derivatives Quantitative

As part of Risk Management and Compliance, you are at the center of keeping JPMorgan Chase strong and resilient. You help the firm grow its business in a responsible way by anticipating new and emerging risks, and using your expert judgement to solve real-world challenges that impact our company, customers and communities. Our culture in Risk Management and Compliance is all about thinking outside the box, challenging the status quo and striving to be best-in-class.

Financial Institutions routinely use models for a broad range of activities including analyzing business strategies, identifying and measuring risk, valuing exposures or instruments, hedging derivative positions, conducting stress testing, assessing capital adequacy, managing clients assets, informing investment process, measuring compliance with internal limits, maintaining the formal control apparatus of the bank, meeting financial or regulatory reporting requirements and issuing public disclosures. Model Risk arises from incorrect or misused model outputs and reports, leading to financial loss or reputational damage.

As part of the firm's model risk management function, Model Risk Governance and Review (MRGR) is charged with developing model risk policy and control procedures, performing model validation activities, providing guidance on a model's appropriate usage in the business context, evaluating ongoing model performance testing, and ensuring that model users are aware of the model strengths and limitations. Model manager roles within MRGR provide attractive career paths for model development and model validation quants in a dynamic setting working closely with Front Office Trading Desks, Desk Quants or Model Developers, Risk and Finance professionals.

Job responsibilities:

- You will analyze conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behavior 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 model developers, Trading Desk, Risk and Finance professionals to provide oversight and guidance on model risk and appropriate usage, controls around model restrictions & limitations, and findings for ongoing performance assessment & testing

- Maintain model risk control apparatus of the bank for the coverage area & serve as first point of contact

- Keep up with the latest developments in coverage area in terms of products, markets, models, risk management practices and industry standards

- Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis.

- Good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives).

Required qualifications, capabilities, and skills

- Experience with Monte Carlo and numerical methods.

- Very strong analytical and problem solving abilities.

- MSc, PhD or equivalent.

- C/C++ programming, Python.

- Inquisitive nature, ability to ask right questions and escalate issues, excellent communication skills (written and verbal).

- 3+ years of trading desk support, model validation or model design experience.

- Team work oriented.

Preferred qualifications, capabilities, and skills :

- Experience with Monte Carlo and numerical methods.

- Experience with Foreign excahnge, Credit and/or Commodity derivatives