JPMorgan Risk Management - Quant Modeling Lead Vice President 

United States, New Jersey, Jersey City 

397121201

Job responsibilities

Model Review

• Evaluate conceptual soundness of modeling framework, reasonableness of assumptions, reliability of inputs, completeness of testing, correctness of implementation, and suitability / comprehensiveness of performance metrics and risk measures.
• Perform independent testing of models by replicating and/or building benchmark models.
• Design and implement tests to measure the potential impact of model limitations, parameter estimation errors, and deviations from model assumptions.
• Evaluate the risks posed by non-transparent model parameters and/or complex relationships and suggest ways to mitigate such risks.
• Cogently document the model review and validation findings.

Model Governance

• Serve as the first point of contact for model governance related inquiries for the coverage area, and help identify and escalate issues to ensure that their resolutions are sound and timely.
• Provide guidance on the appropriate usages of models to model developers, users, and other stakeholders in the firm.
• Stay abreast of the ongoing performance testing outcomes for models used in the coverage area and communicate those outcomes to stakeholders.
• Maintain and update the model inventory for the coverage area.
• Participate in model-related audits and regulatory examinations of the coverage area.

Required qualifications, skills and capabilities

• A Ph.D. or Master’s degree in Mathematics, Physics, Financial Engineering, Statistics, Economics (with a focus on Econometrics), or a related quantitative field of study is required.
• 3+ years of relevant experience in quantitative or modeling in a model review or quantitative research function for securitized products, particularly mortgage loans.
• Proficient in using Python, R, or C++ for quantitative analysis and modeling.
• Excellence in probability theory, stochastic processes, statistics, regression, and data analysis.
• Excellent communication skills with the ability to interface with other functional areas in the firm and strong writing skills for producing technical documents for internal and external (regulatory) consumption.
• Risk and control mindset with the ability to ask incisive questions, assess materiality of model risk issues, and escalate issues appropriately.
• Strong project management and organization skills: flexible, adaptable to shifting priorities to achieve the most effective results, and able to work in a fast-paced and results-driven environment.