Risk Management - Model Risk Program Associate

J.P. Morgan; Jersey City (NJ); On-site; USD 90,000 - 130,000; Full time

Job summary

Join J.P. Morgan as a Quant Model Risk Associate, where you will be at the forefront of evaluating risks associated with complex models used in valuation and risk measurement. This role requires a deep understanding of quantitative methods, excellent communication skills, and the capability to guide model usage within the Risk Management team.

Qualifications

• Strong proficiency in quantitative modeling and risk assessment.
• Inquisitive nature with strong problem-solving skills.
• Excellent written and verbal communication skills.

Responsibilities

• Analyze and assess risks of complex pricing models.
• Guide model usage and modifications for business needs.
• Develop benchmarks and performance metrics for models.

Skills

Probability theory

Statistics

Stochastic processes

Numerical analysis

C/C++

Python

Option pricing theory

Communication skills

Education

MSc or PhD in a quantitative discipline

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 responsibly by anticipating new and emerging risks, using your expert judgment to solve real-world challenges that impact our company, customers, and communities. Our culture in Risk Management and Compliance emphasizes thinking outside the box, challenging the status quo, and striving to be best-in-class.

As a Quant Model Risk Associate within our Risk Management team, you will be responsible for assessing and mitigating risks associated with complex models used for valuation, risk measurement, capital calculation, and decision-making. This role offers the opportunity to gain exposure to various business and functional areas, and to collaborate closely with model developers and users.

Job responsibilities

1. Analyze conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behavior and suitability for specific products/structures.
2. Guide on model usage and serve as the first point of contact for the business on all new models and modifications to existing models.
3. Develop and implement alternative model benchmarks and compare the outcomes of various models; design model performance metrics.
4. Liaise with model developers, Risk and Valuation Control Groups, and provide guidance on model risk.
5. Evaluate model performance regularly.

Required qualifications, capabilities, and skills

• Proficiency in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis.
• MSc or PhD degree.
• Inquisitive nature with the ability to ask the right questions and escalate issues.
• Excellent written and verbal communication skills.
• Good understanding of option pricing theory, including quantitative models for pricing and hedging derivatives.
• Strong coding skills in languages such as C/C++ or Python.

Preferred qualifications, capabilities, and skills

• Experience with Securitized Products.
• MSc, PhD, or equivalent in a quantitative discipline.
• Experience in a front office or model risk quantitative role.