Quant Model Risk Analyst: Valuation & Review

Next Frontier Capital; Greater London; On-site; GBP 110,000 - 160,000; Full time

Job summary

J.P. Morgan is seeking a Quant Model Risk Associate within the Model Risk Governance and Review Group in London.

You will assess and help mitigate model risk for pricing models, valuation, risk measurement and capital calculations, while collaborating with developers and end-users. You will conduct model reviews, provide guidance on model usage, develop benchmarks, liaise with Risk and Valuation Control Groups, and evaluate model performance on an ongoing basis.

Qualifications

• Strong background in probability theory and statistics.
• Experience with stochastic processes, PDEs, and numerical methods.
• MSc/PhD or equivalent in quantitative discipline.
• Excellent written and verbal communication.
• Knowledge of option pricing theory.
• Proficient coding in C/C++ or Python.

Responsibilities

• Carries out model reviews: analyze conceptual soundness of pricing models/engines; assess model behavior and suitability.
• Provides guidance on model usage and first point of contact for business on new/changed models.
• Develop and implement benchmark models and design performance metrics.
• Liaises with model developers and risk groups; provide guidance on model risk.
• Evaluates model performance on a regular basis.

Skills

Probability theory

Stochastic processes

Statistics

Partial differential equations

Numerical analysis

Communication

C/C++

Python

Option pricing theory

Rates derivatives

Model risk quantitative role

Education

MSc, PhD or equivalent in a quantitative discipline

Job description

J.P. Morgan is seeking a Quant Model Risk Associate within the Model Risk Governance and Review Group in London.

You will assess and help mitigate model risk for pricing models, valuation, risk measurement and capital calculations, while collaborating with developers and end-users. You will conduct model reviews, provide guidance on model usage, develop benchmarks, liaise with Risk and Valuation Control Groups, and evaluate model performance on an ongoing basis.