Quant Modelling Associate/Vice President

JPMorgan Chase & Co.; Greater London; On-site; GBP 120,000 - 180,000; Full time

Job summary

JPMorgan Chase & Co. in London is seeking a Quant Modeling Associate/VP to join our Model Risk Governance and Review team, focusing on end-to-end risk management for electronic trading models across the firm.

You will assess model risk in valuation, risk measurement and capital calculations, design experiments, and collaborate with model developers and users. The role offers exposure to multiple business areas and requires strong communication and Python skills.

Qualifications

• Master’s or PhD in a quantitative discipline.
• Strong experience in model validation or front office quant in electronic trading.
• Excellent knowledge of probability theory, statistics, and numerical analysis.
• Solid understanding of option pricing theory and derivatives models.
• Excellent written and verbal communication.
• Risk- and control-minded with ability to escalate issues appropriately.
• Proficiency in Python (NumPy, SciPy, Pandas, etc.).
• Curious, ownership-driven, and teamwork-oriented mindset.

Responsibilities

• Evaluate conceptual soundness of model specifications, reasonableness of assumptions, reliability of inputs, completeness of testing, correctness of implementation, and suitability and comprehensiveness of performance metrics and risk measures.
• Design and implement experiments to measure the potential impact of model limitations, parameter estimation errors, and deviations from model assumptions; compare model outputs with empirical evidence or benchmarks.
• Evaluate the risks posed by non-transparent model parameters and/or non-linear relationships, and suggest ways to mitigate such risks.
• Document the model review findings and communicate them to stakeholders.
• Serve as the first point of contact for model governance related inquiries for the coverage area, and help identify and escalation issues to ensure that their resolutions are sound and timely.
• Provide guidance on the appropriate usage of models to model developers, users, and other stakeholders in the firm.
• Stay abreast of the ongoing performance testing outcomes for models used in the coverage area, and communicate those outcomes to stakeholders.
• Maintain the model inventory and model metadata for the coverage area.
• Maintain the pace with the latest developments in coverage area in terms of products, markets, models, risk management practices, and industry standards.

Skills

Python

NumPy/SciPy/Pandas

Probability theory

Statistics

Stochastic processes

Option pricing

Communication skills

Teamwork

Quant modeling

Front office quant experience

Education

Master's or PhD in Mathematics/Physics/Engineering/CS/Economics/Finance

Tools

KDB

SQL

TensorFlow

q

Job description

We are looking for a new member to join our cross-asset team in the Model Risk Governance and Review group which is responsible for end-to-end model risk management across the firm for electronic trading models.

As a Quant Modeling Associate/Vice President 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 areas and will work closely with model developers and users.

Job responsibilities

• Evaluate conceptual soundness of model specifications, reasonableness of assumptions, reliability of inputs, completeness of testing, correctness of implementation, and suitability and comprehensiveness of performance metrics and risk measures. Perform independent testing of models by replicating or building benchmark models.
• Design and implement experiments to measure the potential impact of model limitations, parameter estimation errors, and deviations from model assumptions; compare model outputs with empirical evidence or outputs from model benchmarks.
• Evaluate the risks posed by non-transparent model parameters and/or non-linear relationships, and suggest ways to mitigate such risks.
• Document the model review findings and communicate them to stakeholders.
• Serve as the first point of contact for model governance related inquiries for the coverage area, and help identify and escalation issues to ensure that their resolutions are sound and timely.
• Provide guidance on the appropriate usage of models to model developers, users, and other stakeholders in the firm.
• Stay abreast of the ongoing performance testing outcomes for models used in the coverage area, and communicate those outcomes to stakeholders.
• Maintain the model inventory and model metadata for the coverage area.
• Maintain the pace with the latest developments in coverage area in terms of products, markets, models, risk management practices, and industry standards.

Required qualifications, capabilities, and skills

• Master's or PhD in a quantitative discipline such as Mathematics, Physics, Engineering, Computer Science, Economics or Finance
• Strong experience in model validation or front office in an area of electronic trading (either agency or market making)
• Excellence in probability theory, stochastic processes, statistics, and numerical analysis.
• Strong understanding of option pricing theory and quantitative models for derivatives.
• Excellent communication skills (written and verbal)
• Risk and control-oriented mindset: ability to ask incisive questions, assess materiality of model issues, and escalation issues appropriately.
• Proficiency in Python (NumPy, SciPy, Pandas, etc).
• Curious, ownership-driven, and teamwork-oriented mindset.

Preferred qualifications, capabilities and skills

• Prior model validation or front-office quant experience in pricing, risk, or electronic market making models.
• Database interfacing, data management and (pre-processing) (kdb, q, SQL).
• Experience of working with tensorflow and other ML packages.