Risk Management - Model Risk Vice President
at J.P. Morgan
Posted 18 days ago
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- Compensation
- Not specified
- City
- New York City
- Country
- United States
Currency: Not specified
Senior quantitative model risk role responsible for assessing and mitigating risks in complex pricing and valuation models, particularly for Mortgage-Backed Securities and securitization products. Lead model reviews, design performance metrics and alternative benchmarks, and serve as primary contact for model usage and changes. Collaborate closely with model developers, valuation control groups, and business users to evaluate model behavior, suitability and ongoing performance. Requires strong quantitative background and coding ability to validate and challenge models used for risk measurement and capital calculations.
Location: New York, NY, United States
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-in-class.
As a Quant Modeling Lead within our Risk Management team, you will be responsible for assessing and mitigating the risks associated with complex models used for valuation, risk measurement, capital calculation, and decision-making purposes. This role also provides the opportunity to gain exposure to various business and functional areas, as well as collaborate closely with model developers and users.
Job responsibilities
- Lead model reviews: analyze conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behavior and suitability of pricing models/engines for Mortgage-Backed Securities and other securitization products
- Guide on model usage and act as first point of contact for the business on all new models and changes to existing models
- Develop and implement alternative model benchmarks and compare the outcome of various models; Design model performance metrics
- Liaises with model developers, Risk and Valuation Control Groups and provide guidance on model risk
- Evaluate model performance on a regular basis
Required qualifications, capabilities, and skills
- Experience with Securitized Products and Interest Rate Derivatives
- Experience with Prepayment Models for Securitization Products
- Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis
- MSc, PhD
- Inquisitive nature, ability to ask right questions and escalate issues
- Excellent communication skills (written and verbal)
- Good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives)
- Good coding skills, for example in C/C++ or Python
Preferred qualifications, capabilities, and skills
- Experience with Securitized Products and Interest Rate Derivatives
- Experience with Prepayment Models for Securitization Products
- MSc, PhD or equivalent in a quantitative discipline
- Experience in a FO or model risk quantitative role.
