Quant Model Risk Associate - Rates

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

We are looking for a new member to join our Rates team in the Model Risk Governance and Review Group which is responsible for end-to-end model risk management across the firm.

As a Quant Model Risk Associate in our Model Risk Governance and Review 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

• Carries 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
• Provides 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
• Liaises with model developers, Risk and Valuation Control Groups and provide guidance on model risk
• Evaluates 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 elevate 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

The following additional items will be considered but are not required for this role:

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

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. Visit our FAQs for more information about requesting an accommodation.

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.

This is an attractive career path for you as a model development and model validation quant in a dynamic and challenging setting.