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Quant Model Risk Analyst

JP Morgan · Mumbai

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Employer requisition: 210702811

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Collected role description

We are looking for a new member to join our Rates team in the Model Risk Governance and Review Group which is responsible for end-to-end model risk management across the firm. As a Quant Model Risk Analyst you will assess and help 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. Additionally, you will have an opportunity for exposure to a variety of business and functional area as well as will work closely with model developers and users. Job responsibilities Carries out model reviews: analyze conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behavior and suitability of pricing models/engines to particular products/structures Provides guidance on model usage and act as first point of contact for the business on all new models and changes to existing models Develop and implement alternative model benchmarks and compare the outcome of various models; Design model performance metrics Liaises with model developers, Risk and Valuation Control Groups and provide guidance on model risk Evaluates model performance on a regular basis Required qualifications, capabilities, and skills Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis MSc, PhD or equivalent in a quantitative discipline Inquisitive nature, ability to ask right questions and escalate issues Excellent communication skills (written and verbal) Good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives) Good coding skills, for example in C/C++ or Python Preferred qualifications, capabilities, and skills The following additional items will be considered but are not required for this role: Experience with Rates derivatives This is an attractive career path for you as a model development and model validation quant in a dynamic and challenging setting.