Quant Model Risk Analyst

JPMorgan Chase & Co.; Mumbai; On-site; INR 1,200,000 - 1,800,000; Full time

Job summary

JPMorgan Chase & Co. is seeking a Quant Model Risk Analyst to join our Rates team in Mumbai. This role involves assessing the model risk of complex models used in valuation and decision-making. You will work closely with model developers and users to mitigate risk effectively.

The ideal candidate will possess strong expertise in probability theory, statistics, and coding skills in C/C++ or Python. A Master's or PhD in a quantitative discipline is required for this position.

Qualifications

• Strong knowledge of stochastic processes, statistics, and numerical analysis.
• Ability to analyze complex pricing models.
• Skill in evaluating model performance regularly.

Responsibilities

• Analyze conceptual soundness of complex pricing models.
• Provide guidance on model usage as the first contact.
• Develop alternative model benchmarks and metrics.

Skills

Excellence in probability theory

Good coding in C/C++ or Python

Excellent communication skills

Understanding of option pricing theory

Inquisitive nature

Education

MSc, PhD or equivalent in a quantitative discipline

Job description

We are looking for a new member to join our 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 Analyst you will assessand helpmitigate 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 area as well as will work closely withmodel developers and users.

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

Required qualifications, capabilities, and skills

• 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:

• ExperiencewithRates derivatives