Corporate - Model Risk Governance & Review - Model Review Group - Associate - NY

Job description

JP Morgan Chase is seeking to fill a role in the Model Risk and Development Group (MRaD) which provides oversight of the firm's model risk policy, guidance with respect to a model's appropriate usage, and independent model reviews. Specifically, the position is in the Model Review Group (MRG), a subgroup of MRaD, and requires the successful candidate to quantitatively evaluate complex pricing models, VaR methodologies and forecasting frameworks covering all of the firm's products.

The Model Review Group assesses and helps mitigate the risk of derivate models used in the context of valuation, risk measurement, capital adequacy requirements and, more broadly, internal decision-making. The derivative instruments in question cover all asset classes and make extensive use of models subject to validation by MRG.
The initial focus of this position is on VaR modeling for securitized products, equity and credit products, and consists of the following core responsibilities:
· Analyzing the conceptual soundness of pricing models and engines
· Assessing model behavior and its suitability to particular products/structures
· Assessing appropriateness of the model's output risk sensitivities
· Quantifying materiality of suggested model improvements
· Liaising with front office quants, traders, risk and finance professionals and provide guidance on model risk
· Cogently documenting analysis findings resulting in model approval or disapproval

Desired profile

The candidate is expected to be aggressively self-driven, have an expert understanding of risk analysis in at least some of the areas mentioned above, a demonstrable ability for derivative modeling and a thorough understanding of all aspects of a VaR computation framework. A Ph.D. in a hard science is required along with 3-5 years of experience in banking.

Communication skills are paramount since the role requires interacting with many groups across the firm as well as producing documents for both internal and external (regulatory) consumption.