Quant Modeling Associate - Model Risk Governance Review - Senior Associate

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

Bring your Expertise to JPMorgan Chase. As part of Risk Management and Compliance, you are at the center of keeping JPMorgan Chase strong and resilient. You help the firm grow its business in a responsible way by anticipating new and emerging risks, and using your expert judgement to solve real-world challenges that impact our company, customers and communities. Our culture in Risk Management and Compliance is all about thinking outside the box, challenging the status quo and striving to be best-class.

As a Quant Modeling Associate in the MRGR team in New York City, you will cover counterparty credit risk models where you will have exposure to multiple assets classes, and the firm's counterparty credit risk management and collateral risk management processes. You will have day-to-day interaction with quantitative research teams, credit risk functions, and trading desks. Your position will focus on the following activities.

Job 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.

Required qualifications, capabilities, and skills

• Quantitative background with at least a master's degree in mathematics, science, engineering, statistics, quantitative finance, or similar.
• 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 mind-set.
• Inquisitive nature, ability to ask the right questions, assess materiality, and escalate issues.

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Preferred qualifications, capabilities, and skills

• Domain expertise in margining and credit risk measurement.
• Experience with counterparty credit risk in model validation and/or model development.
• Understanding of the finance industry, particularly in modelling - valuation, risk, capital.