The Model Risk Governance and Review Group (MRGR) oversees model risk at the firm, conducts independent model reviews, and provides guidance around a model's appropriate usage. The team is responsible for conducting independent model review and model governance activities to help identify, measure, and mitigate model risk in the firm. The objective is to ensure that models are fit-for-purpose, used appropriately within the business context for which they have been approved, and that model users are aware of the model limitations and how they could impact business decisions.
The MRGR CRM team covers state-of-the-art margining and credit risk measurement techniques used in Corporate & Investment Bank for management of credit exposure arising from security financing transactions, over-the-counter derivatives, and exchange traded products.
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As a Quant Modelling Associate you will be a member of the MRGR team in New York City covering counterparty credit risk models where you will have exposure to multiple assets classes, and the firm's counterparty credit risk management and collateral risk management processes. You will have day-to-day interaction with quantitative research teams, credit risk functions, and trading desks. Your position will focus on the following activities.
Job Responsibilities
- Review methodologies for margining and measurement of credit risk.
- Evaluate the conceptual soundness and appropriateness of the model for its intended purpose, the reliability of the inputs, the reasonableness of the assumptions, and the model limitations.
- Assess the adequacy of the testing to support the model assumptions and performance as well as the correctness of the implementation.
- Assist with model governance processes, issue management, and ongoing performance monitoring.
- Work closely with model developers, credit risk officers, and trading desks to help them understand methodology and usage; establish transparency around model controls, model limitations and performance.
Required qualifications, capabilities, and skills
- Quantitative background with at least a master's degree in mathematics, science, engineering, statistics, quantitative finance, or similar.
- Strong quantitative, analytical, and problem-solving skills; knowledge of probability theory, statistics, mathematical finance, econometrics, numerical methods, and stochastic calculus.
- Relevant quantitative experience at a similar bank/asset management analytics setup.
- Ability to work independently, with remote supervision, and meet deadlines.
- Strong communication skills and a team-player mind-set.
- Inquisitive nature, ability to ask the right questions, assess materiality, and escalate issues.
.Preferred qualifications, capabilities, and skills
- Domain expertise in margining and credit risk measurement.
- Experience with counterparty credit risk in model validation and/or model development.
- Understanding of the finance industry, particularly in modelling - valuation, risk, capital.
ABOUT US
JPMorganChase, one of the oldest financial institutions, offers innovative financial solutions to millions of consumers, small businesses and many of the world's most prominent corporate, institutional and government clients under the J.P. Morgan and Chase brands. Our history spans over 200 years and today we are a leader in investment banking, consumer and small business banking, commercial banking, financial transaction processing and asset management.
We offer a competitive total rewards package including base salary determined based on the role, experience, skill set, and location. For those in eligible roles, we offer discretionary incentive compensation which may be awarded in recognition of firm performance and individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more. Additional details about total compensation and benefits will be provided during the hiring process.
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.
JPMorgan Chase & Co. is an Equal Opportunity Employer, including Disability/Veterans
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.