Quant Model Risk Analyst/Associate - Counterparty Credit Risk

Fairygodboss; Bengaluru; On-site; INR 1,500,000 - 2,100,000; Full time

Job summary

JPMorganChase in Bengaluru seeks a qualified professional to join the Model Risk Governance and Review group, focusing on validating trading models and monitoring ongoing performance. You will assess model soundness, testing completeness, and help shape governance policies.

A strong quantitative background and Python exposure are preferred. The role involves close collaboration with traders, developers, and controls teams to ensure transparency of model usage, limitations, and performance in a

Qualifications

• Bachelor's degree in Mathematics, Science, Engineering, Statistics, Quant Finance, or similar.
• Strong quantitative, analytical, and problem-solving skills; knowledge of probability theory, statistics, mathematical finance, econometrics, numerical methods and stochastic calculus.
• Strong communication and interpersonal skills; ability to multi-task and meet deadlines.

Responsibilities

• Model validation of trading models/pricers used in XVA, Counterparty Credit Exposure and IMM/Capital calculations and regulatory stress testing.
• Assess adequacy of testing to support correctness of implementation.
• Perform ongoing performance monitoring tests and back testing to ensure models are fit for purpose.
• Assist with model governance processes, model inventory and issue management and help to devise new model governance policies.
• Collaborate with model developers, trading desks, and controls functions to ensure transparency around model controls and limitations.

Skills

Quantitative reasoning

Python programming

Communication skills

Education

Bachelor's degree in Mathematics/Science/Engineering/Statistics/Quant Finance

Job description

Are you looking for an exciting opportunity to join a dynamic and growing team in a fast paced and challenging area? This is a unique opportunity for you to work in our team to partner with the Business to provide a comprehensive view. As part of the firm's model risk management function, the Model Risk Governance and Review group is charged with developing model risk policy and control procedures, performing model validation activities, providing guidance on a model's appropriate usage in the business context, evaluating ongoing model performance testing, and ensuring that model users are aware of the model strengths and limitations.

Job responsibilities:

• Model validation of trading models/pricers used in XVA, Counterparty Credit Exposure and IMM/Capital calculations and regulatory stress testing.
• Perform assessments of the conceptual soundness of model specification, the appropriateness of the methodology for its intended purpose, reasonableness of assumptions and reliability of inputs and assessment of model limitations
• Assess completeness of testing performed to support the correctness of the implementation
• Perform ongoing performance monitoring tests and regulatory/non-regulatory back testing to ascertain that models are relevant and fit for purpose.
• Assist with model governance processes, model inventory and issue management and help to devise new model governance policies as and when required.
• Work closely with model developers, trading desks, and controls functions across the firm to understand methodology, usage and establish transparency around model controls, model limitations and performance

Required qualifications, capabilities, and skills:

• Quantitative background with at least a bachelors degree in Mathematics, Science, Engineering, Statistics, Quant Finance, or similar.
• Strong quantitative, analytical, and problem-solving skills; knowledge of probability theory, statistics, mathematical finance, econometrics, numerical methods and stochastic calculus.
• Strong communication and interpersonal skills; ability to multi-task and meet deadlines
• Ability to work independently, with remote supervision
• Risk and control mindset: ability to ask incisive questions, assess materiality and escalte issue

Preferred qualifications, capabilities, and skills

• Knowledge and interest in Python programming
• Understanding of finance industry, particularly in modeling- valuation, risk, capital, forecasting, investment management

ABOUT US

JPMorganChase, one of the oldest financial institutions, offers innovative financial solutions to millions of consumers, small businesses and many of the world's most prominent corporate, institutional and government clients under the J.P. Morgan and Chase brands. Our history spans over 200 years and today we are a leader in investment banking, consumer and small business banking, commercial banking, financial transaction processing and asset management.

We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of 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.

ABOUT THE TEAM

Our professionals in our Corporate Functions cover a diverse range of areas from finance and risk to human resources and marketing. Our corporate teams are an essential part of our company, ensuring that we're setting our businesses, clients, customers and employees up for success.

Risk Management helps the firm understand, manage and anticipate risks in a constantly changing environment. The work covers areas such as evaluating country-specific risk, understanding regulatory changes and determining credit worthiness. Risk Management provides independent oversight and maintains an effective control environment.