Corporate – Risk – Model Risk and Development- Quantitative Developer- Associate/ VP
Quantitative Developer position within the Model Risk Group (Associate or VP level)
Job summary:
- Financial Institutions routinely use models for a broad range of activities including credit underwriting, valuing financial instruments, measuring and managing risk, assessing the adequacy of reserves and capital resources, and many other applications. Model Risk arises from the potential adverse consequences of making decisions based on incorrect or misused model outputs and reports, leading to financial loss, poor business decision making, or reputational damage.
- The Model Risk Group (MRG) is responsible for conducting model validation to help identify, measure, and mitigate Model Risk. The objective is to ensure that models are used appropriately in the business context and that model users are aware of the models' strengths and limitations and how these can impact their decisions.
- Pricing and risk measurement models for financial derivatives products traded by the Investment Bank (IB) client businesses are one of the areas of focus for MRG. Sound usage of these models requires a deep understanding of the theoretical underpinnings, expertise of the underlying markets used to manage risk, and an understanding of model performance in different regimes.
- MRG carries out model validation activities and works closely with Risk, Finance and FO professionals to review model validation findings, on-going model risk measurement and risk mitigating strategies.
Core responsibilities:
- Carry out model risk measurement projects: 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 and/or outputs from alternative model benchmarks.
- Support other model validation activities, including model reviews.
Qualifications:
Essential skills, experience, and qualifications:
- Degree or equivalent work experience
- Exceptional C development skills in a numerical (scientific) programming setting.
- Excellent analytical and problem solving abilities.
- Inquisitive nature, ability to ask right questions and escalate issues. Risk Control mindset.
- Excellent communication skills (written and verbal).
- Team work oriented.
- Understanding of probability theory, stochastic processes, PDEs, and numerical methods.
Desirable skills, experience, and qualifications (at least one of the below essential for VP position):
- Experience in applied quantitative research and implementation in financial derivatives.
- Professional software development experience
About J.P. Morgan Corporate Investment Bank
J.P. Morgan's Corporate Investment Bank is a global leader across banking, markets and investor services. The world's most important corporations, governments and institutions entrust us with their business in more than 100 countries. With $18 trillion of assets under custody and $393 billion in deposits, the Corporate Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world.
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