Quant Model Risk Analyst

Next Frontier Capital; Mumbai; On-site; INR 1,500,000 - 2,500,000; Full time

Job summary

Next Frontier Capital is seeking a Quant Model Risk Analyst to join their Rates team. In this role, you will assess and mitigate model risk for complex models utilized in decision-making, valuation, and risk measurement.

The successful candidate will work closely with model developers and business users, ensuring optimal model performance and compliance with governance standards. Candidates should have a strong quantitative background and at least two years of relevant experience.

Qualifications

• Two or more years in a front-office or model risk quantitative role.
• Inquisitive nature, ability to ask the right questions and to escalate issues.
• Excellent communication skills (written and verbal).

Responsibilities

• Analyze conceptual soundness of complex pricing models, engines, and reserve methodologies.
• Provide guidance on model usage and act as first point of contact for new models.
• Develop alternative model benchmarks and design model performance metrics.
• Liaise with model developers and provide guidance on model risk.
• Evaluate model performance on a regular basis.

Skills

Excellence in probability theory

Stochastic processes

Statistics

Numerical analysis

Coding skills in C/C++ or Python

Option pricing theory

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 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

• 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 acts as first point of contact for the business on all new models and changes to existing models
• Develops and implements alternative model benchmarks and compares the outcome of various models; designs model performance metrics
• Liaises with model developers, Risk and Valuation Control Groups and provides guidance on model risk
• Evaluates model performance on a regular basis

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.

• 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 the right questions and to 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
• Two or more years in a front‑office or model risk quantitative role

Preferred qualifications, capabilities, and skills

The following additional items will be considered but are not required for this role:

• Experience with rates derivatives

Equal Opportunity Employer

JPMorganChase does not discriminate based on any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. We also make reasonable accommodations for applicants’ and employees’ religious practices and beliefs, as well as mental health or physical disability needs. Visit our FAQs for more information about requesting an accommodation.