Quant Model Risk Associate - Market Risk

JPMorgan Chase; Greater London; Hybrid; GBP 60,000 - 80,000; Full time

Job summary

A global financial services leader in London is seeking a Quant Model Risk Associate to review market risk models, ensuring their robustness and correctness. This role involves assessing model performance and collaborating with finance and risk teams to mitigate model risk. Required qualifications include an advanced degree in mathematics or a related field, along with a strong understanding of financial mathematics and programming skills. This is a valuable opportunity for those looking to shape risk analysis in finance.

Qualifications

• Advanced degree in a relevant field such as Mathematics or Economics.
• Deep understanding of probability theory and financial mathematics.
• Experienced in programming with complex data sets.

Responsibilities

• Evaluate conceptual soundness of model specifications and assumptions.
• Design experiments to assess model limitations and performance.
• Document and explain findings to model developers.
• Work with model developers and Finance professionals.
• Document review findings for risk management.

Skills

Probability theory

Financial mathematics

Time-series analysis

Statistics

Numerical methods

Python

Analytical skills

Problem solving

Communication skills

Teamwork

Education

MSc or PhD in Applied Mathematics, Economics, Physics, Statistics, Engineering

Job description

Do you want to join the team which makes a difference in a bank? Financial institutions routinely use models for a broad range of activities including credit underwriting, valuing financial instruments, measuring and managing risk, assessing the adequacy of reserves and capital resources, and many other applications. Model Risk arises from the potential adverse consequences of making decisions based on incorrect or misused model outputs and reports, leading to financial loss, poor business decision‑making, or reputational damage.

As a Quant Model Risk Associate – Market Risk working in Model Risk Governance and Review Market Risk, you will play a crucial role in reviewing market risk models (such as Value‑at‑Risk, specific risk, risk factor simulation) used in connection with regulatory capital measurement, and contribute to a range of model risk governance activities.

The Model Risk Governance and Review (MRGR) group is responsible for conducting model validation to help identify, measure, and mitigate Model Risk. The objective is to ensure that models are used appropriately in the business context and that model users are aware of the models' strengths and limitations and how these can impact their decisions.

Within MRGR, the MRGR Market Risk (MRGR MR) team performs reviews of the Firm's Market Risk models to ensure that the way in which JP Morgan quantifies, monitors, and manages risk is robust. This role involves examining the behavior of these risk models by assessing their performance for different exposures and in varying market conditions. It entails exposure to a broad range of models, including the pricing models used to value derivatives, and statistical models of the risk factors used to estimate possible market scenarios.

Job responsibilities

• Evaluate conceptual soundness of model specification; reasonableness of assumptions and reliability of inputs; completeness of testing performed to support the correctness of the implementation; robustness of numerical aspects; suitability and comprehensiveness of performance metrics and risk measures associated with use of a model.
• Design and implement experiments to measure the potential impact of model limitations, parameter estimation error or deviations from model assumptions; compare model outputs with empirical evidence and/or outputs from model benchmarks.
• Evaluate model performance on an ongoing basis and in periodic re‑reviews.
• Identify market conditions under which a model's performance may degrade.
• Liaise with model developers, Finance and Risk professionals to provide guidance on model risk and usage.
• Document and explain review findings to model developers and risk management.

Required qualifications, capabilities, and skills

• An advanced degree (for example, MSc or PhD) in a subject such as Applied Mathematics, Economics, Physics, Statistics, Engineering or similar.
• Deep understanding of probability theory, financial mathematics, time‑series analysis, statistics, and numerical methods.
• Experienced in one or more programming languages (e.g., Python) and in working with complex data sets.
• Excellent analytical and problem solving abilities.
• Inquisitive nature, ability to ask right questions and to elevate issues; a risk & control mindset.
• Excellent communication skills (written and verbal).
• Teamwork‑oriented mindset.

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.

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.

Risk Management helps the firm understand, manage and anticipate risks in a constantly changing environment. The work covers areas such as evaluating country‑specific risk, understanding regulatory changes and determining credit worthiness. Risk Management provides independent oversight and maintains an effective control environment.