Quant Model Risk Analyst

Testing Site - JPMC; Mumbai; On-site; INR 2,500,000 - 4,000,000; Full time

Job summary

Testing Site - JPMC in Mumbai seeks a Quant Model Risk Analyst to join the Rates team within the Model Risk Governance and Review Group. You will assess and mitigate model risk for pricing, risk measurement, capital calculation, and related decision-making.

You will work with developers and users to review models, design benchmarks, and provide guidance on model usage and risk. Strong math, coding, and communication skills are essential.

Qualifications

• 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 (quantitative models for pricing and hedging derivatives).
• Good coding skills, for example in C/C++ or Python.
• 2+ years in a FO or model risk quantitative role.

Responsibilities

• Carries out model reviews: analyze conceptual soundness of complex pricing models, engines, and reserve methodologies.
• Provides guidance on model usage and acts as first point of contact for the business on all new models and changes.
• Develop and implement alternative model benchmarks and compare outcomes; 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.

Skills

Probability theory

Stochastic processes

PDEs

Statistical analysis

Option pricing

Python coding

C/C++

Quantitative finance

Communication skills

Education

MSc/PhD in quantitative discipline

Tools

Python

C/C++

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

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.

• 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
• 2+ years in a FO or model risk quantitative role.

Preferred qualifications, capabilities, and skills

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

• ExperiencewithRates derivatives