Quant Model Risk Associate - FX and Emerging Markets

Testing Site - JPMC; Greater London; On-site; GBP 90,000 - 130,000; Full time

Job summary

Testing Site - JPMC is seeking a Quant Model Risk Associate to join the FX and Emerging Markets risk governance team. You will assess complex valuation models, pricing engines, and risk measures used across the firm, identifying limitations and helping build compensating controls.

You will collaborate with model developers and users, deliver quantitative analyses, benchmarks, and model performance metrics, and contribute to end-to-end model risk management in a fast-paced, global environment.

Qualifications

• Excellence in probability theory, stochastic processes, statistics, PDEs, and numerical analysis.
• MSc, PhD or equivalent in a quantitative discipline.
• Inquisitive nature with ability to ask the right questions and escalate issues.
• Excellent written and verbal communication skills.
• Good understanding of option pricing theory for derivatives pricing and hedging.

Responsibilities

• Carry out model reviews: analyze conceptual soundness of pricing models, engines, and reserve methodologies.
• Provide guidance on model usage and act as first point of contact for the business on new models and changes to existing models.
• Develop and implement alternative model benchmarks and compare outcomes; design model performance metrics.
• Liaise with model developers, Risk and Valuation Control Groups and provide guidance on model risk.
• Evaluate model performance on a regular basis.

Skills

Probability theory

Stochastic processes

Statistics

Numerical analysis

Option pricing theory

C/C++

Python

Quantitative modelling

Model risk awareness

FX derivatives knowledge

Education

MSc/PhD or equivalent in a quantitative discipline

Tools

Python

C/C++

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.