Quant Model Risk Senior Associate/Vice President - Rates

JPMorgan Chase & Co.; Greater London; On-site; GBP 120,000 - 190,000; Full time

Job summary

JPMorgan Chase & Co. invites applications for a Quant Model Risk Senior Associate/VP in the Interest Rates team within the Model Risk Governance and Review Group. You will assess and mitigate risk of complex pricing models used for valuation and risk measurement of interest rate derivatives.

Acting as a bridge between model developers and users, you will also oversee, train and mentor junior colleagues in a dynamic global setup.

Qualifications

• 5+ years in a front-office or model risk quantitative role.
• Strong background in probability theory and numerical methods.
• Experience with pricing models and risk measurement for derivatives.

Responsibilities

• Carry out model reviews analyzing conceptual soundness of pricing models and engines.
• Provide guidance on model usage and be first point of contact for new models and changes.
• Develop and compare alternative model benchmarks and performance metrics.
• Collaborate with model developers, Risk and Valuation Control Groups to guide model risk.
• Evaluate model performance regularly.
• Manage and develop junior team members.

Skills

Probability theory

Stochastic processes

Statistics

Partial differential equations

Numerical analysis

C/C++

Python

Communication skills

Questioning & escalation

Education

MSc/PhD or equivalent in a quantitative discipline

Tools

C/C++

Python

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.

As a Quant Model Risk Senior Associate/Vice President in the Interest Rates team, you will assessand helpmitigate the model risk of complex models used in the context of valuation and risk measurement for Interest Rate derivatives. 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.

You will also have managerial responsibility to oversee, train and mentor junior members of the team.

Job responsibilities

• Carriesoutmodelreviews:analyzeconceptualsoundnessof complex pricingmodels,engines,andreservemethodologies;assessmodelbehaviorandsuitabilityof pricingmodels/enginestoparticularproducts/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
• Developandimplementalternativemodelbenchmarksandcompare theoutcomeofvariousmodels;Designmodelperformancemetrics
• Liaiseswithmodel developers,RiskandValuationControlGroupsandprovideguidanceonmodelrisk
• Evaluates model performance on a regular basis
• Manage and develop junior members of the team.

Required qualifications, capabilities, and skills

We are looking for someone excited to join our organization. If you meet the minimum requirements below, you are encouraged to apply to be considered for this role.

• 5+ years of experience in a FO or model risk quantitative role.
• 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

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

• Experiencewithinterest rates derivatives