Quant Model Risk Associate - Rates
at J.P. Morgan
Posted a month ago
No clicks
- Compensation
- Not specified
- City
- Mumbai
- Country
- India
Currency: Not specified
As a Quant Model Risk Associate on the Rates team you will assess and mitigate model risk for complex pricing and valuation models used in valuation, risk measurement and capital calculations. You will carry out end-to-end model reviews, develop alternative model benchmarks and performance metrics, and liaise with model developers and control groups to provide guidance on model usage. The role requires strong quantitative foundations (probability, stochastic processes, PDEs, numerical analysis) and good coding skills in C/C++ or Python. Minimum qualifications include an MSc/PhD or equivalent and 3+ years' experience in a front-office or model risk quantitative role.
Location: Mumbai, Maharashtra, India
We are looking for a new member to join our Rates team in the Model Risk Governance and Review Group which is responsible for end-to-end model risk management across the firm.
As a Quant Model Risk Associate you will assess and help mitigate the model risk of complex models used in the context of valuation, risk measurement, the calculation of capital, and more broadly for decision-making purposes. Additionally, you will have an opportunity for exposure to a variety of business and functional area as well as will work closely with model developers and users.
Job responsibilities
- Carries out model reviews: analyze conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behavior and suitability of pricing models/engines to particular products/structures
- Provides guidance 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
- Evaluates model performance on a regular basis
Required qualifications, capabilities, and skills
We are looking for someone excited to join our organization. If you meet the minimum requirements below, you are encouraged to apply to be considered for this role.
- Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis
- MSc, PhD or equivalent in a quantitative discipline
- 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
- 3+ years in a FO or model risk quantitative role.
Preferred qualifications, capabilities, and skills
The following additional items will be considered but are not required for this role:
- Experience with Rates derivatives
