Quant Modeling Lead [Multiple Positions Available]

JPMorgan Chase & Co.•Jersey City, NJ

18h•$167,000 - $215,000•Onsite

About The Position

This role involves conducting model risk governance and review for quantitative and valuation models of mortgage-backed securitized products. The responsibilities include evaluating the conceptual soundness of the modeling framework, reasonableness of assumptions, reliability of inputs, completeness of testing, correctness of implementation, and the suitability and comprehensiveness of performance metrics and risk measures. The position also requires performing independent testing by replicating and/or building benchmark models, designing and implementing tests to assess the potential impact of model limitations, parameter estimation errors, and deviations from model assumptions. The role involves documenting model review and validation findings independently, serving as the primary contact for model governance inquiries, and providing guidance on appropriate model usage to developers, users, and other stakeholders. Additionally, the role includes monitoring ongoing performance testing for models in the coverage area, maintaining and updating the model inventory, and participating in model-related audits and regulatory examinations.

Requirements

Master's degree in Financial Engineering, Applied Mathematics, Economics, Operations Research, Information Engineering or related field of study.
Three (3) years of experience in the job offered or as Quant Modeling Lead, Model Risk Program Associate, Model Risk Management & Control, Analyst, or related occupation.
Three (3) years of experience in quantitative modeling or model validation and review for securitized products backed by residential mortgage loans.
Experience with quantitative models for different types of prepayments (including refinancing, turnover, cash-out, and curtailment), credit transitions, defaults, and loss severity across various residential mortgage products including Fixed-Rate Mortgages, Hybrid Adjustable-Rate Mortgages, Option Adjustable-Rate Mortgages, Home Equity Loans, and Home Equity Lines of Credit.
Experience with simulation-based risk sensitivity and portfolio analyses of valuation models, including pricing, duration analysis, convexity analysis, option-adjusted spread analysis, profit and loss attribution analysis, and hedging analysis, for different residential-mortgage-backed securities, such as pass-through securities and collateralized mortgage obligations.
Experience with time series models for macroeconomic variables such as home price index and mortgage rates.
Experience with ongoing performance monitoring methodologies for quantitative, valuation, and time series models, including monitoring metrics design, threshold determination, and performance backtesting.
Experience with quantitative and time series modeling methods, including linear and non-linear multiple regressions, multiplicative logistic regression, autoregressive integrated moving average model, mean-reversion process, cointegration testing and error correction model, and panel data regression.
Experience with Python or R programming languages to perform validation analysis, independent testing, and implementation testing, as well as developing benchmark models.
Experience documenting model review, validation findings and independent testing using Latex.

Responsibilities

Conduct model risk governance and review for quantitative and valuation models of mortgage-backed securitized products.
Evaluate the conceptual soundness of the modeling framework, reasonableness of assumptions, reliability of inputs, completeness of testing, correctness of implementation, and the suitability and comprehensiveness of performance metrics and risk measures.
Perform independent testing by replicating and/or building benchmark models.
Design and implement tests to assess the potential impact of model limitations, parameter estimation errors, and deviations from model assumptions.
Document model review and validation findings independently.
Serve as the primary contact for model governance inquiries, helping to identify and escalate issues to ensure sound and timely resolutions.
Provide guidance on appropriate model usage to developers, users, and other stakeholders.
Monitor ongoing performance testing for models in the coverage area.
Maintain and update the model inventory for the coverage area.
Participate in model-related audits and regulatory examinations.