Counterparty Risk Quant - Model Validation & Governance

JPMorgan Chase; New York (NY); On-site; USD 120,000 - 180,000; Full time

Job summary

JPMorgan Chase in New York is seeking a Quant Modeling Associate in the MRGR team to analyze counterparty credit risk models across asset classes. You will interact with quantitative research, credit risk, and trading desks to ensure robust model governance and transparent controls.

The role emphasizes evaluating model soundness, performance testing, and collaboration with developers to advance credit risk measurement and collateral risk processes.

Qualifications

• Master's degree in mathematics, science, engineering, statistics, quantitative finance, or similar is required.
• Strong quantitative, analytical, and problem-solving skills; knowledge of probability theory, statistics, mathematical finance, econometrics, numerical methods, and stochastic calculus.
• Relevant quantitative experience at a similar bank/asset management analytics setup.
• Ability to work independently and meet deadlines.
• Strong communication skills and a team-player mindset.
• Inquisitive nature, ability to ask the right questions, assess materiality, and escalate issues.

Responsibilities

• Review methodologies for margining and measurement of credit risk.
• Evaluate the conceptual soundness and appropriateness of the model for its intended purpose, the reliability of the inputs, the reasonableness of the assumptions, and the model limitations.
• Assess the adequacy of the testing to support the model assumptions and performance as well as the correctness of the implementation.
• Assist with model governance processes, issue management, and ongoing performance monitoring.
• Work closely with model developers, credit risk officers, and trading desks to help them understand methodology and usage; establish transparency around model controls, model limitations and performance.

Skills

Quantitative background

Strong analytical skills

Team collaboration

Independent worker

Communication skills

Problem solving

Inquisitive mindset

Education

Master's degree in mathematics or related field

Job description

JPMorgan Chase in New York is seeking a Quant Modeling Associate in the MRGR team to analyze counterparty credit risk models across asset classes. You will interact with quantitative research, credit risk, and trading desks to ensure robust model governance and transparent controls.

The role emphasizes evaluating model soundness, performance testing, and collaboration with developers to advance credit risk measurement and collateral risk processes.