Quant Model Risk Associate - FX and Emerging Markets

J.P. Morgan; City Of London; On-site; GBP 60,000 - 80,000; Full time

Job summary

A leading financial institution is seeking a Quant Model Risk Associate to join their FX and Emerging Markets team. The position involves assessing and mitigating model risks, analyzing complex pricing models, and developing benchmarks. Ideal candidates will have advanced qualifications in quantitative disciplines, strong technical skills, and excellent communication abilities. This role offers a unique opportunity to develop skills within a dynamic environment in the financial sector.

Qualifications

• Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis.
• Inquisitive nature with the ability to ask the right questions and escalate issues.

Responsibilities

• Analyze conceptual soundness of complex pricing models and assess model behavior.
• Provide guidance on model usage and act as the first point of contact for the business.
• Develop and implement alternative model benchmarks and design model performance metrics.
• Liaise with model developers and provide guidance on model risk.
• Evaluate model performance on a regular basis.

Skills

Probability theory

Stochastic processes

Statistics

Partial differential equations

Numerical analysis

Excellent communication skills (written and verbal)

Good understanding of option pricing theory

Good coding skills (C/C++ or Python)

Education

MSc or PhD in a quantitative discipline

Job description

We are looking for a new member to join our FX and Emerging Markets team in the Model Risk Governance and Review Group which is responsible for end-to-end model risk management across the firm. We adopt a comprehensive model risk management approach, assessing models within their usage context and based on relevant success criteria. Our role involves identifying limitations, communicating them effectively, and assisting model users in the design compensating controls. This approach requires strong technical skills and business understanding, offering an excellent opportunity for skill development, setting us apart from typical validation teams.

As a Quant Model Risk Associate within our Risk Management team, you will assessand helpmitigate 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 withmodel developers and users.

Job responsibilities

• Carryoutmodelreviews:analyzeconceptualsoundnessof complex pricingmodels,engines,andreservemethodologies;assessmodelbehaviorandsuitabilityof pricingmodels/enginestoparticularproducts/structures
• Provide guidance on model usage and act as first point of contact for the business on all new models and changes to existing models
• Developandimplementalternativemodelbenchmarksandcompare theoutcomeofvariousmodels;Designmodelperformancemetrics
• Liaisewithmodel developers,RiskandValuationControlGroupsandprovideguidanceonmodelrisk
• Evaluate model performance on a regular basis

Required qualifications, capabilities, and skills

• Excellenceinprobabilitytheory,stochasticprocesses,statistics,partialdifferentialequations,andnumericalanalysis
• MSc, PhD orequivalent in a quantitative discipline
• Inquisitivenature,abilitytoaskrightquestionsandescalateissues
• Excellentcommunicationskills(writtenandverbal)
• Goodunderstandingof optionpricingtheory(i.e.quantitativemodelsforpricingandhedgingderivatives)
• Good coding skills, for example in C/C++or Python

Preferred qualifications, capabilities, and skills

• ExperiencewithFX derivatives
• Experience in a FO or model risk quantitative role.