Quant Model Risk Vice President - Rates

Testing Site - JPMC; Greater London; On-site; GBP 120,000 - 180,000; Full time

Job summary

Testing Site - JPMC is seeking a Quant Model Risk Vice President to join the Interest Rates team, responsible for end-to-end model risk management for valuation and risk measurement of rate derivatives.

The role includes overseeing, training, and mentoring junior team members while engaging with developers and users across business lines.

Qualifications

• Minimum 5 years in a front-office or model risk quantitative role.
• Strong knowledge of probability theory, stochastic processes, statistics, PDEs, and numerical analysis.
• MSc, PhD or equivalent in a quantitative discipline.
• Curious mindset with ability to ask the right questions and escalate issues.
• Excellent written and spoken communication skills.
• Solid understanding of option pricing theory and quantitative models for pricing and hedging derivatives.
• Strong coding skills in C/C++ or Python.

Responsibilities

• Carry out model reviews; analyze conceptual soundness of pricing models, engines, and reserve methodologies.
• Provide guidance on model usage and be the main contact for new models and changes.
• Develop and implement benchmarks; design model performance metrics.
• Liaise with model developers, Risk and Valuation Control; provide guidance on model risk.
• Evaluate model performance on a regular basis.
• Manage and develop junior members of the team.

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 Vice President in the Interest Rates team, you will assess and help mitigate 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 with model 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