Senior Quant Model Risk AVP – Interest Rate Derivatives

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

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.