Quant Model Risk Associate - Interest Rates

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

Job summary

A global financial services firm is seeking a Quant Model Risk Associate to assess and mitigate model risk within complex valuation and decision-making frameworks. The ideal candidate will possess strong quantitative skills and experience in model risk, alongside excellent communication abilities. This role provides a unique opportunity for growth and collaboration across teams in a dynamic environment.

Qualifications

• Strong foundation in probability theory and statistics.
• Inquisitive nature and strong communication skills.
• Good understanding of option pricing theory and coding skills.

Responsibilities

• Analyze and review complex pricing models and methodologies.
• Provide guidance on model usage and serve as a contact for new model queries.
• Develop alternative model benchmarks and performance metrics.
• Liaise with developers and control groups on model risk.
• Regularly evaluate model performance.

Skills

Probability theory

Stochastic processes

Statistics

Partial differential equations

Numerical analysis

Communication skills

C/C++ coding skills

Python coding skills

Education

MSc or PhD in a quantitative discipline

Job description

We are looking for a new member to join our Interest Rates 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 assess and help mitigate 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 with model developers and users.

Job responsibilities

• Carry out model reviews: analyze conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behavior and suitability of pricing models/engines to particular products/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
• Develop and implement alternative model benchmarks and compare the outcome of various models; 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

Required qualifications, capabilities, and skills

• Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis
• MSc, PhD or equivalent in a quantitative discipline
• Inquisitive nature, ability to ask right questions and escalate issues
• Excellent communication skills (written and verbal)
• Good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives)
• Good coding skills, for example in C/C++ or Python

Preferred qualifications, capabilities, and skills

• Experience with interest rates derivatives
• Experience in a FO or model risk quantitative role.