Corporate - Model Risk Governance & Review – Model Developer – Associate/VP - NY

  • Competitive
  • New York, NY, USA
  • Permanent, Full time
  • JPMorgan.
  • 30 Sep 16

Corporate - Model Risk Governance & Review – Model Developer – Associate/VP - NY

JPMorgan Chase & Co . (NYSE: JPM) is a leading global financial services firm with assets of $2.6 trillion and operations worldwide. The firm is a leader in investment banking, financial services for consumers and small business, commercial banking, financial transaction processing, and asset management. A component of the Dow Jones Industrial Average, JPMorgan Chase & Co. serves millions of consumers in the United States and many of the world's most prominent corporate, institutional and government clients under its J.P. Morgan and Chase brands. Information about JPMorgan Chase & Co. is available at www.jpmorganchase.com .

  • 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 or reputational damage.

  • The Model Risk Group (MRG) is responsible for conducting model validation to help identify, measure, and mitigate model risk. The broad objectives are to ensure that models are used appropriately in the business context and that model users are aware of the models' strengths and limitations and how these can impact their decisions.

  • The Benchmarking team within MRG operates as shared utility across MRG, responsible for carrying out independent model implementation and benchmarking experiments in order to assess model integrity, model performance and the magnitude of the associated model risk. Duties include designing model performance metrics, designing & implementing alternative benchmark models, and conducting experiments to compare a model's prediction against actual outcomes or against the output of the alternative models. This is in order to mitigate model integrity risk and/or to measure the impact of deviations from model assumptions, parameter estimation errors, uncertainty in judgmental inputs. Team members have opportunities for exposure to a variety of business areas and are expected to work closely with a variety of teams.


Qualifications
Responsibilities:

  • Carry out independent model implementation and benchmarking projects associated with pricing and risk management models.
  • Partner with model development and model review teams and with model users across the firm to specify benchmarks, leverage analytics components where possible, and cross-validate model results
  • Ensure analytics platform follows best practices for development, testing and change control

Essential skills, experience, and qualifications:

  • 0-6 years of applied quantitative implementation in pricing and risk management models used by derivatives trading desks. Familiarity with volatility models is desirable.
  • PhD or MS degree in Math, Math Finance, Physics, Computer Science, Engineering or similar
  • C/C++ programming experience
  • Experience with numerical methods used in calibration, optimization and Monte Carlo simulation
  • Deep understanding of probability theory, stochastic processes and mathematical finance
  • Excellent analytical and problem solving abilities
  • Strong communication skills (written and verbal)
  • Team work oriented