Quant Model Risk Vice President
at J.P. Morgan
Posted 16 days ago
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Senior quant role within the Model Risk Governance and Review Group on the Interest Rates team in London. You will assess and mitigate model risk for complex valuation, risk measurement and capital models, perform model reviews, develop alternative benchmarks and design performance metrics. The role involves liaising with model developers, Risk and Valuation Control Groups, guiding business users, and managing and mentoring junior team members. Requires strong quantitative background (MSc/PhD), expertise in probability, stochastic processes and option pricing theory, and coding ability (e.g., C/C++ or Python).
- Compensation
- Not specified
- City
- London
- Country
- United Kingdom
Currency: Not specified
Full Job Description
Location: LONDON, LONDON, United Kingdom
We are looking for a new member to join our Interest 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 Vice President in the Model Risk Governance team, 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.
You will also have managerial responsibility to oversee, train and mentor junior members of the team.
Job responsibilities
- Carry 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
- Provide 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
- Liaise with model developers, Risk and Valuation Control Groups and provide guidance on model risk
- Evaluate model performance on a regular basis
- Manage and develop junior members of the team.
Required qualifications, capabilities, and skills
- Significant experience in a FO or model risk quantitative 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
Preferred qualifications, capabilities, and skills
- Experience with interest rates derivatives
This is an attractive career path for you as a model development and model validation quant in a dynamic and challenging setting
