Model Risk Governance and Review - Valuation Control Group - Vice President

JPMorgan Chase & Co.; London; On-site; GBP 90,000 - 120,000; Full time

Job summary

A leading global financial services firm in London is seeking a VP in their Model Risk Governance and Review team. The role involves evaluating model specifications, conducting independent testing, and ensuring compliance with risk management practices. Candidates should have strong analytical skills, experience in modeling, and be proficient in programming languages. This position offers an opportunity to drive excellence in risk management and contribute to the firm's business objectives.

Qualifications

• Experience in a modeling or validation role.
• Understanding of options and derivative pricing theory and risks.
• Ability to produce documents for regulatory consumption.

Responsibilities

• Evaluate conceptual soundness of model specifications.
• Perform independent testing of models.
• Document model review findings and communicate them.

Skills

Excellent written and verbal communication skills

Strong analytical and problem-solving abilities

Excellence in probability theory

Strong Risk and control mindset

Ability to interface with front office

Tools

Python

R

Matlab

C++

Job description

Overview

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 by using your expert judgement to solve real-world challenges that impact our company, customers and communities. Our culture is all about thinking outside the box, challenging the status quo and striving to be best-in-class. Model Risk Governance and Review (MRGR) is a global team of modeling experts within the firm's Risk Management and Compliance organization. The team is responsible for conducting independent model review and model governance activities to help identify, measure, and mitigate Model Risk in the firm. The objective is to ensure that models are fit for purpose, used appropriately within the business context for which they have been approved, and that model users are aware of the model limitations and how they could impact business decisions. MRGR Corporate & Investment Banking (CIB) Trading covers valuation and risk-management models used within the Corporate & Investment Bank. The team focuses on Derivatives Instruments, which involve some of the most complex and advanced modeling techniques used in the industry.

As a VP in MRGR\'s Valuation Control Group team in Risk Management and Compliance, you are at the center of model review and governance activities, working with a wide variety of model types and cutting-edge techniques. You will collaborate with Risk Teams, Model Developers, Trading, and Finance, contributing to the responsible growth of the firm. You help ensure models are fit for purpose, used appropriately, and that users understand their limitations. Together, we drive excellence in risk management and support the firm\'s business objectives.

Job responsibilities

• Evaluate conceptual soundness of model specifications, assumptions, inputs, testing, implementation, and performance metrics.
• Perform independent testing of models by replicating or building benchmark models.
• Design and implement experiments to measure the impact of model limitations and compare outputs with empirical evidence or benchmarks.
• Document model review findings and communicate them to stakeholders.
• Represent MRGR VCG in meetings with management and regulators.
• Serve as the first point of contact for model governance inquiries and escalate issues as needed.
• Provide guidance on model usage to developers, users, and stakeholders.
• Monitor ongoing performance testing outcomes and communicate results to stakeholders.
• Maintain model inventory and metadata for the coverage area.
• Stay current with developments in products, markets, models, risk management practices, and industry standards.
• Participate in model-related audits and regulatory examinations.

Required Qualifications, Capabilities, and Skills

• Excellent written and verbal communication skills.
• Experience in a modeling or validation role.
• Strong analytical and problem-solving abilities.
• Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis. Understanding of options and derivative pricing theory and risks.
• Strong Risk and control mindset. Experience with Risk Policies and Procedures.
• Good comprehension skills, an inquisitive nature, ability to ask salient questions, assess materiality of model issues, and escalate issues appropriately.
• The ability to interface with front office and functional areas in the firm on model-related issues; produce documents for internal and external (regulatory) consumption.

Preferred qualifications, capabilities and skills

• Some previous managerial experience.
• Some prior knowledge of VCG methodologies (in particular, Fair Value Adjustments and Prudent Valuation Adjustments).
• Experience interacting with regulators.
• Good team player with experience working with other teams around tight deadlines.
• Demonstrate project management and organization skills: flexible, adaptable to shifting priorities to achieve the most effective result and able to work in a fast-paced, results-driven environment.
• Proficient in Python, R, Matlab, C++, or other programming languages.

About Us

J.P. Morgan is a global leader in financial services, providing strategic advice and products to the world\'s most prominent corporations, governments, wealthy individuals and institutional investors. Our first-class business in a first-class way approach to serving clients drives everything we do. We strive to build trusted, long-term partnerships to help our clients achieve their business objectives.

We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. We also make reasonable accommodations for applicants\' and employees\' religious practices and beliefs, as well as mental health or physical disability needs. Visit our FAQs for more information about requesting an accommodation.

About the Team

Our professionals in our Corporate Functions cover a diverse range of areas from finance and risk to human resources and marketing. Our corporate teams are an essential part of our company, ensuring that we\'re setting our businesses, clients, customers and employees up for success.