Quant Model Risk Vice President

Aumni; Mumbai; On-site; INR 2,500,000 - 4,000,000; Full time

Job summary

TwinThread is searching for a Quant Model Risk Vice President to join their Interest Rates team. This role involves assessing model risk of complex models used for Interest Rate derivatives while overseeing and mentoring junior team members. Candidates should have at least 7 years of FO or model risk experience, strong skills in probability theory and coding (C/C++ or Python), and excellent communication abilities. The position offers an exciting opportunity in a dynamic setting, contributing to the firm’s model risk management.

Qualifications

• 7 years of experience in a FO or model risk quantitative role.
• Excellent understanding of option pricing theory.
• Inquisitive nature, ability to ask the right questions.

Responsibilities

• Analyze and assess model performance and suitability for products.
• Provide guidance on model usage and act as first contact for new models.
• Develop and implement alternative model benchmarks and metrics.

Skills

Probability theory

Stochastic processes

Statistics

Numerical analysis

C/C++ coding skills

Python coding skills

Communication skills

Education

MSc, PhD or equivalent 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 assess and help mitigate 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 with model developers and users.

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

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 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
• 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.
• 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

Preferred qualifications, capabilities, and skills

• Experience with interest 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 FAQs for more information about requesting an accommodation.

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. This is an attractive career path for you as a model development and model validation quant in a dynamic and challenging setting.