Quant Model Risk Vice President

Testing Site - JPMC; Mumbai; On-site; INR 3,500,000 - 5,200,000; Full time

Job summary

Testing Site - JPMC is seeking a Quant Model Risk Vice President to oversee end-to-end model risk governance for interest-rate derivatives. You will assess and mitigate risk of complex pricing models while guiding developers and users across the firm.

You will also manage and mentor junior members of the team and liaise with risk groups to ensure robust model risk controls and open communication with business partners.

Qualifications

• 7 years of experience in a front-office or model risk quantitative role.
• Strong background in probability theory, stochastic processes, statistics and numerical methods.
• Advanced degree in a quantitative field (MSc/PhD).
• Curiosity and ability to ask the right questions and escalate issues.
• Excellent written and verbal communication skills.
• Knowledge of option pricing theory and pricing/hedging derivatives.
• Proficient coding skills in C/C++ or Python.

Responsibilities

• Carries out model Reviews: analyze conceptual soundness of pricing models and reserve methodologies.
• Provide guidance on model usage and act as first point of contact for new models and changes.
• Develop and implement alternative model benchmarks; design model performance metrics.
• Liaise with model developers, Risk and Valuation Control Groups; provide guidance on model risk.
• Evaluate model performance on a regular basis.
• Manage and develop junior team members.

Skills

Probability theory

Stochastic processes

Statistics

Partial differential equations

Numerical analysis

Inquisitive nature

Communication skills

Option pricing theory

Coding (C/C++, Python)

Education

MSc / PhD in a quantitative discipline

Job description

We are looking for a new member to join our Interest 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 Vice President you will assessand helpmitigate the model risk of complex models used in the context of valuation and risk measurement for Interest Rate derivatives. 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.

You will also have managerial responsibility to oversee, train and mentor junior members of the team.

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
• Manage and develop junior members of the team.

Required qualifications, capabilities, and skills

• 7 years of experience in a FO or model risk quantitative 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

Preferred qualifications, capabilities, and skills

• Experiencewithinterest rates derivatives