Quant Model Risk Associate – Equities and eTrading

As part of Risk Management and Compliance, you are at the center of keeping JPMorgan Chase strong and resilient. You help the firm grow its business in a responsible way by anticipating new and emerging risks, and using your expert judgement to solve real-world challenges that impact our company, customers and communities. Our culture in Risk Management and Compliance is all about thinking outside the box, challenging the status quo and striving to be best-in-class.

As a Quant Model Risk Associate within our Risk Management team, you will be responsible for assessing and mitigating the risks associated with complex models used for valuation, risk measurement, capital calculation, and decision-making purposes. This role also provides the opportunity to gain exposure to various business and functional areas, as well as collaborate closely with model developers and users. Less experienced candidates might be considered Analyst.

Job responsibilities

• Evaluate conceptual soundness of model specifications, reasonableness of assumptions, reliability of inputs, completeness of testing, correctness of implementation, and suitability and comprehensiveness of performance metrics and risk measures
• Perform independent testing of models by replicating or building benchmark models
• Design and implement experiments to measure the potential impact of model limitations, parameter estimation errors, and deviations from model assumptions; compare model outputs with empirical evidence or outputs from model benchmarks
• Evaluate the risks posed by non-transparent model parameters and/or non-linear relationships, and suggest ways to mitigate such risks
• Document the model review findings and communicate them to stakeholders
• 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 usage 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 the model inventory and model metadata for the coverage area
• Maintain the pace with the latest developments in coverage area in terms of products, markets, models, risk management practices, and industry standards

Required qualifications, capabilities, and skills

• Minimum of a Master's degree in Quantitative Finance, Mathematics, Physics or a related discipline
• Strong analytical and problem-solving abilities
• Excellence in probability theory, stochastic processes, statistics, and numerical analysis
• Good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives option)
• Good coding skills, for example in C/C++ or Python
• Inquisitive nature with excellent communication skills
• Teamwork-oriented mindset

Preferred qualifications, capabilities, and skills

• Experience with pricing derivatives.
• Data and numeric programming (NumPy, SciPy, Pandas, etc.)
• Experience of working with tensorflow and other ML packages