Model Risk [Multiple Positions Available]

JPMorgan Chase & Co.; New York (NY); On-site; USD 160,000 - 215,000; Full time

Job summary

JPMorgan Chase & Co. in New York seeks a senior Model Risk Associate to validate risk models used for regulatory capital and market risk measurement.

You will evaluate model specifications, inputs, and testing across asset classes, communicating findings to developers and risk teams. The position requires a Master’s degree in a quantitative field with at least one year of related experience and strong Python data skills (pandas, NumPy, SciPy).

Qualifications

• Master's degree in a quantitative field plus 1 year of experience.
• Strong mathematical skills for valuation and market risk models.
• Experience with Python, pandas, NumPy, SciPy.
• Experience with VaR, regulatory capital calculations, CCAR/ICAAP.

Responsibilities

• Validate risk models used for regulatory capital and market risk management.
• Identify and manage model risk across equities, FX, credit, rates, commodities.
• Assess specification, assumptions, inputs, testing, and performance metrics.
• Design experiments to measure impact of model limits and estimation error.
• Document findings and communicate with model developers and risk management.

Skills

Model risk analysis

Data manipulation

Derivatives pricing

Stress testing

Education

Master's degree

Tools

Python

pandas

NumPy

SciPy

Job description

DESCRIPTION:

Duties: Validate risk models used in connection with regulatory capital measurement as well as market risk management. Identify, communicate, and manage model risk associated with the use of these models across all asset classes such as Equities, FX, Credit, Rates, Commodities. Evaluate conceptual soundness of model specification, reasonableness of assumptions and reliability of inputs, completeness of testing performed to support the correctness of the implementation, robustness of numerical aspects, suitability and comprehensiveness of performance metrics and risk measures associated with use of models. Design and implement experiments to measure the potential impact of model limitations, parameter estimation error or deviations from model assumptions, compare model outputs with empirical evidence or outputs from model benchmarks. Assess how evolving market conditions may lead to model performance degradation and managing the risk associated with this. Document and explain review findings to model developers and risk management. Ensure that model risks are correctly identified, documented and communicated to the relevant stakeholders.

QUALIFICATIONS:

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

Skills Required: This position requires experience with the following: Mathematical skills in relation to models used in valuation and market risk management in international financial institutions; Analyzing and manipulating data sets with application to data used in valuation and risk management models; Modeling Value-At-Risk and regulatory and economic capital calculations, as well as models used in market risk management and stress testing including CCAR and ICAAP under different regulatory regimes; Derivatives pricing theory and financial products in Interest Rates, Equities, Commodities, Foreign Exchange and Structured Products; Quantitative finance modelling in Python using pandas, numpy, and scipy; writing technical documents and preparing presentations for senior management.

Job Location: 237 Park Ave, New York, NY 10017.

Full-Time. Salary: $160,000.00-$215,000.00 per year.