Location
London
Hours
Full Time
Salary
Competitive, commensurate with experience
About the Role
We are seeking a Quant Model Risk Associate to join our Rates team within the Model Risk Governance and Review Group at JPMorganChase. This team is responsible for end-to-end model risk management across the firm. In this role, you will assess and help mitigate the model risk of complex models used for valuation, risk measurement, capital calculation, and broader decision-making purposes. You will have exposure to a variety of business and functional areas and work closely with model developers and users.
Key responsibilities include carrying out model reviews by analyzing the conceptual soundness of complex pricing models, engines, and reserve methodologies; assessing model behavior and suitability for specific products and structures; providing guidance on model usage and acting as the first point of contact for the business on new models and changes to existing models; developing and implementing alternative model benchmarks and comparing outcomes; designing model performance metrics; liaising with model developers, Risk and Valuation Control Groups; and regularly evaluating model performance.
Experience
- Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis
- Good understanding of option pricing theory including quantitative models for pricing and hedging derivatives
- Good coding skills in languages such as C/C++ or Python
About you
- Inquisitive nature with the ability to ask the right questions and escalate issues appropriately
- Excellent written and verbal communication skills
Qualifications
- MSc, PhD or equivalent degree in a quantitative discipline
Preferred Qualifications
- Experience with Rates derivatives
- Experience in a front office or model risk quantitative role
JPMorganChase
