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Model Risk Quant Analyst / Associate - Counterparty Credit Risk

AT JPMorgan Chase
JPMorgan Chase

Model Risk Quant Analyst / Associate - Counterparty Credit Risk

London, United Kingdom

Join our global team of modeling experts at JPMorgan's Risk Management and Compliance organization. As a Model Risk Quant Associate, you'll play a pivotal role in identifying, measuring, and mitigating model risks within the Counterparty Credit Risk space. This is your opportunity to leverage your technical expertise and intellectual rigor to make a significant impact on our firm's risk management strategies. Be part of a team that values innovation, collaboration, and excellence in model governance.

As a Model Risk Quant Associate - Counterparty Credit Risk within the MRGR Credit Portfolio team, you will lead the development and expansion of our benchmarking library and related tools. You will enhance the model validation team's ability to conduct independent testing activities for models used in the CCR space. You will leverage your technical expertise to identify and assess model risks across various asset classes and end-usage models, ensuring fair valuation and effective credit risk management.

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Job responsibilities:

  • Evaluate the conceptual soundness and implementation correctness of models.
  • Design and implement experiments to measure ongoing model performance.
  • Conduct periodic re-reviews to assess model performance.
  • Collaborate with model developers, trading desks, and control functions to assess models' fit-for-purpose.
  • Contribute to the development of the team's independent benchmarking library.

Required qualifications, capabilities, and skills:

  • PhD or MS degree in quantitative areas such as Math Finance, Applied Math, Physics, Engineering, Statistics, or Econometrics.
  • Solid command of probability theory, stochastic calculus, and numerical methods.
  • Deep understanding of financial math and derivative pricing.
  • Excellent analytical and problem-solving abilities.
  • Strong communication skills, both written and verbal.
  • Inquisitive nature with a risk and control mindset.
  • Proficiency in programming languages, particularly Python.

Preferred qualifications, capabilities, and skills:

  • Experience in model validation or model development.
  • Familiarity with Counterparty Credit Risk space and relevant models.


ABOUT US

J.P. Morgan is a global leader in financial services, providing strategic advice and products to the world's most prominent corporations, governments, wealthy individuals and institutional investors. Our first-class business in a first-class way approach to serving clients drives everything we do. We strive to build trusted, long-term partnerships to help our clients achieve their business objectives.

We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. We also make reasonable accommodations for applicants' and employees' religious practices and beliefs, as well as mental health or physical disability needs. Visit our FAQs for more information about requesting an accommodation.

ABOUT THE TEAM

Our professionals in our Corporate Functions cover a diverse range of areas from finance and risk to human resources and marketing. Our corporate teams are an essential part of our company, ensuring that we're setting our businesses, clients, customers and employees up for success.

Risk Management helps the firm understand, manage and anticipate risks in a constantly changing environment. The work covers areas such as evaluating country-specific risk, understanding regulatory changes and determining credit worthiness. Risk Management provides independent oversight and maintains an effective control environment.

Client-provided location(s): London, UK; United Kingdom
Job ID: JPMorgan-210602277
Employment Type: Full Time