Model Risk Analyst – Validate & Challenge Market Risk Models

J.P. Morgan; New York (NY); On-site; USD 160,000 - 215,000; Full time

Job summary

JPMorganChase in New York, NY seeks a Model Risk Associate to validate risk models used for regulatory capital measurement and market risk management across asset classes including Equities, FX, Credit, Rates, and Commodities. You will design experiments, assess model specifications, and document findings for stakeholders.

The role requires a Master’s degree and at least 1 year of related experience, with strong Python data analysis skills and experience in VaR/capital modeling, derivatives

Qualifications

• Master's degree in Applied Mathematics, Economics, Physics, Statistics, Engineering or related field plus 1 year of experience in the job offered or as Model Risk Associate, Model Risk Auditor, Quantitative Analyst, or related occupation.

Responsibilities

• Validate risk models used in connection with regulatory capital measurement as well as market risk management.
• Identify, communicate, and manage model risk across asset classes.
• Document and explain review findings to model developers and risk management.
• Design and implement experiments to measure the potential impact of model limitations and estimation error.

Skills

Mathematical modeling

Data analysis

VaR & capital models

Derivatives pricing

Python (pandas, numpy, scipy)

Technical writing

Education

Master's degree in Applied Mathematics, Economics, Physics, Statistics, Engineering or related field

Tools

Python

pandas

numpy

scipy

Job description

JPMorganChase in New York, NY seeks a Model Risk Associate to validate risk models used for regulatory capital measurement and market risk management across asset classes including Equities, FX, Credit, Rates, and Commodities. You will design experiments, assess model specifications, and document findings for stakeholders.

The role requires a Master’s degree and at least 1 year of related experience, with strong Python data analysis skills and experience in VaR/capital modeling, derivatives