Quant Model Risk Vice President - Rates

JPMorgan Chase & Co.; Greater London; On-site; GBP 100,000 - 130,000; Full time

Job summary

A leading global financial services firm is seeking a Quant Model Risk Vice President to join their Interest Rates team in Greater London. In this role, you will assess model risk for complex pricing models used in Interest Rate derivatives, provide guidance on model usage, and manage junior team members. The ideal candidate has over 5 years of experience in model risk and a strong foundation in quantitative analysis. Excellent communication skills and coding proficiency in C/C++ or Python are essential for success.

Qualifications

• 5+ years of experience in a FO or model risk quantitative role.
• Inquisitive nature with strong problem-solving skills.
• Excellent written and verbal communication skills.

Responsibilities

• Analyze and assess the soundness of complex pricing models.
• Provide guidance on model usage and act as a contact for new models.
• Develop and implement alternative model benchmarks.

Skills

Probability theory

Stochastic processes

Statistics

Partial differential equations

Numerical analysis

Option pricing theory

C/C++

Python

Communication skills

Education

MSc or PhD in a quantitative discipline

Job description

Overview

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 exposure to a variety of business and functional areas 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.

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
• Manage and develop junior members of the team

Required qualifications, capabilities, and skills

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