Quant Model Risk Associate - Rates

TwinThread; Mumbai; On-site; INR 1,000,000 - 1,500,000; Full time

Job summary

TwinThread is looking for a Quant Model Risk Associate in Mumbai, India, responsible for assessing and mitigating model risk of complex financial models. The role involves conducting model reviews, providing guidance on model usage, and developing benchmarks.

The ideal candidate should have a strong quantitative background with a MSc or PhD, excellent communication skills, and experience in a front office or model risk role. Proficiency in coding (C/C++ or Python) is essential.

Join a diverse, innovative team at JPMorganChase, valuing inclusion and providing exceptional financial solutions.

Qualifications

• 3+ years in a FO or model risk quantitative role.
• Inquisitive nature, ability to ask right questions and elevate issues.
• Good understanding of option pricing theory.

Responsibilities

• Conduct model reviews and analyze the soundness of models.
• Provide guidance on model usage and serve as a point of contact.
• Develop and implement alternative model benchmarks.

Skills

Excellence in probability theory

Stochastic processes

Statistics

Partial differential equations

Numerical analysis

Communication skills

Coding skills in C/C++

Coding skills in Python

Education

MSc, PhD or equivalent in a quantitative discipline

Job description

As a Quant Model Risk Associate 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 as well as 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 outcomes 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

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

Preferred qualifications, capabilities, and skills

• Experience with Rates derivatives.

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.