Model Risk [Multiple Positions Available]

JPMorgan Chase & Co.•New York, NY

8d•$160,000 - $215,000•Onsite

About The Position

This role involves validating risk models used for regulatory capital measurement and market risk management. The primary focus is on identifying, communicating, and managing model risk across various asset classes including Equities, FX, Credit, Rates, and Commodities. Responsibilities include evaluating the conceptual soundness of model specifications, the reasonableness of assumptions, the reliability of inputs, the completeness of testing, the robustness of numerical aspects, and the suitability of performance metrics and risk measures. The role also entails designing and implementing experiments to quantify the impact of model limitations, parameter estimation errors, or deviations from assumptions, and comparing model outputs with empirical evidence or benchmarks. Additionally, the position requires assessing how changing market conditions might degrade model performance and managing the associated risks. Key tasks include documenting and explaining review findings to model developers and risk management, and ensuring that model risks are accurately identified, documented, and communicated to stakeholders.

Requirements

Master's degree in Applied Mathematics, Economics, Physics, Statistics, Engineering or related field of study
1 year of experience in the job offered or as Model Risk Associate, Model Risk Auditor, Quantitative Analyst, or related occupation.
Mathematical skills in relation to models used in valuation and market risk management in international financial institutions
Analyzing and manipulating data sets with application to data used in valuation and risk management models
Modeling Value-At-Risk and regulatory and economic capital calculations, as well as models used in market risk management and stress testing including CCAR and ICAAP under different regulatory regimes
Derivatives pricing theory and financial products in Interest Rates, Equities, Commodities, Foreign Exchange and Structured Products
Quantitative finance modelling in Python using pandas, numpy, and scipy
Writing technical documents and preparing presentations for senior management.

Responsibilities

Validate risk models used in connection with regulatory capital measurement as well as market risk management.
Identify, communicate, and manage model risk associated with the use of these models across all asset classes such as Equities, FX, Credit, Rates, Commodities.
Evaluate conceptual soundness of model specification, reasonableness of assumptions and reliability of inputs, completeness of testing performed to support the correctness of the implementation, robustness of numerical aspects, suitability and comprehensiveness of performance metrics and risk measures associated with use of models.
Design and implement experiments to measure the potential impact of model limitations, parameter estimation error or deviations from model assumptions, compare model outputs with empirical evidence or outputs from model benchmarks.
Assess how evolving market conditions may lead to model performance degradation and managing the risk associated with this.
Document and explain review findings to model developers and risk management.
Ensure that model risks are correctly identified, documented and communicated to the relevant stakeholders.