Quant Model Risk Associate - Rates

Testing Site - JPMC; Mumbai; On-site; INR 3,000,000 - 6,000,000; Full time

Job summary

Testing Site - JPMC in Mumbai seeks a Quant Model Risk Associate to assess and mitigate model risk across valuation, pricing, risk measurement, and capital calculation. You will collaborate with model developers and users to understand and improve complex models.

The role offers exposure to multiple business areas and includes model reviews, guidance on usage, and benchmarking with performance metrics. Strong mathematical background and coding in C/C++ or Python are required.

Qualifications

• MSc or PhD in a quantitative discipline.
• Strong knowledge of probability theory and stochastic processes.
• Familiarity with option pricing theory.
• Excellent written and verbal communication skills.
• 3+ years in a model risk quantitative role.

Responsibilities

• Carry out model reviews: analyze conceptual soundness of pricing models, engines and reserving methodologies; assess model behavior and suitability of pricing models/engines to particular products/structures.
• Provide guidance on model usage and act as first point of contact for the business on all new models and changes to existing models.
• Develop and implement alternative model benchmarks and compare the outcome of various models; 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

Statistics

Partial differential equations

Numerical analysis

Inquisitive nature

Excellent communication skills

Option pricing theory

Experience with Rates derivatives

Education

MSc/PhD in quantitative discipline

Tools

C/C++

Python

Job description

As a Quant Model Risk Associate 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
• 3+ years in a FO or model risk quantitative role.

Preferred qualifications, capabilities, and skills

• ExperiencewithRates derivatives