JP Morgan Chase - Risk Modeling Analyst

Model Review Group - Market Risk/VaR Model Review

Description

- As part of the firm's model risk management function, J.P. Morgan's Model Review Group (MRG) is charged with performing model validation activities of complex Tier-1 & Tier- 2 Models. The review activity focusses on assessing the conceptual soundness of the model construct as well performing independent testing among other things.

You'll make an impact by :

- Performing independent model reviews of quantitative models used by Market Risk Group for VaR computation purposes

- Performing assessment of the conceptual soundness of model specification, the appropriateness of the methodology for its intended purpose, reasonableness of assumptions and reliability of inputs

- Conducting performance analysis and implementation testing. Identify and highlight limitation of methodologies, identify and quantify misunderstood or understated risks

- Assessing completeness of testing performed to support the correctness of the implementation

- Working with model developers and model users across the firm to understand methodology and usage

General requirements :

- Quantitative background ideally with Master's degree in Maths, Science, Finance, Engineering, Statistics, Quant Finance etc.

- Strong quantitative, analytical, and problem solving skills; knowledge of probability theory, calculus, statistics, mathematical finance, econometrics, numerical methods

- Knowledge of Market Risk/VaR Models

- Good programming skills would be a plus,

- Strong communication and interpersonal skills

- Strong project management and organizational skills; ability to multi-task and meet deadlines

- Ability to work independently, with remote supervision

- Risk and control mindset: ability to ask incisive questions, assess materiality and escalate issues