Model Risk Group (MRG) carries out the review of models used across the firm. The group assesses and helps 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. Derivative instruments are widely used in the Bank's businesses as part of the core trading activities or for risk management purposes. Derivative instruments make extensive use of models subject to validation by MRG. Model validation includes an evaluation of conceptual soundness; designing and conducting experiments to compare a model's prediction against actual outcomes or against the output of alternative benchmark models; and designing and monitoring model performance metrics.
MRG partners with Risk and Finance professionals and works closely with FO quants as well as traders. Team members have opportunities for exposure to a variety of business areas.
· Carry out model reviews: analyze conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behaviour and suitability of pricing models/engines to particular products/structures;
· Develop and implement alternative model benchmarks and compare the outcome of various models; Design model performance metrics
· Liaise with FO quants, traders, Risk and Valuation Control Groups and provide guidance on model risk.
Essential Skills, Experience and Qualifications
· Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis.
· Very strong analytical and problem solving abilities.
· PhD or equivalent
· C/C++ programming, Visual Basic.
· Inquisitive nature, ability to ask right questions and escalate issues, excellent communication skills (written and verbal)
· Team work oriented.
· Very good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives)
Desirable Skills, Experience and Qualifications
· Trading desk support, model validation, or model design experience.
· Experience with Monte Carlo and numerical methods.
· Experience with exotic derivative pricing
About J.P. Morgan’s Corporate & Investment Bank
J.P. Morgan’s Corporate & Investment Bank is a global leader across banking, markets and investor services. The world’s most important corporations, governments and institutions entrust us with their business in more than 100 countries. With $18 trillion of assets under custody and $393 billion in deposits, the Corporate & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world. Further information about J.P. Morgan is available at www.jpmorgan.com.
JPMorgan Chase & Co. offers an exceptional benefits program and a highly competitive compensation package.
JPMorgan Chase & Co. is an Equal Opportunity Employer.