JPMorgan Equity - Quant Model Risk Associate / Vice President 

United Kingdom, England, London 

246371486

Model Risk Governance and Review Group (MRGR) carries out the review of models used across the firm and model risk governance. MRGR has a global presence across New York, London, Mumbai, and Paris.

Model manager roles within MRGR provide attractive career paths for you as model development and model validation quant in a dynamic setting working closely with Front Office Trading Desks, Desk Quants or Model Developers, Risk and Finance professionals, where they act as key stakeholders on day-to-day model-related risk management decisions as well as conduct independent model validation of new and existing models.

Job responsibilities

You will be a member of the team covering equity derivatives models, and will focus on the following activities:

• Carries out model reviews: analyzes conceptual soundness of complex pricing models, engines, and reserve methodologies; assesses model behavior and suitability of pricing models/engines to particular products/structures
• Develops and implement alternative model benchmarks and compare the outcome of various models; design model performance metrics
• Liaises with model developers, Trading Desk, Risk and Finance professionals to provide oversight and guidance on model risk and appropriate usage, controls around model restrictions & limitations, and findings for ongoing performance assessment & testing
• Maintains model risk control apparatus of the bank for the coverage area & serve as first point of contact
• Keeps up with the latest developments in coverage area in terms of products, markets, models, risk management practices and industry standards

Required qualifications, capabilities, and skills

• Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis
• Good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives)
• Experience with Monte Carlo and numerical methods
• Very strong analytical and problem solving abilities
• MSc, PhD or equivalent
• C/C++ programming, Python
• Inquisitive nature, ability to ask right questions and escalate issues, excellent communication skills (written and verbal)

Preferred qualifications, capabilities, and skills

• Experience with equity derivatives
• Preferably with front office quant experience