Model Risk [Multiple Positions Available]
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Job Description
DESCRIPTION:
Duties: 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.
QUALIFICATIONS:
Minimum education and experience required: Master's degree in Applied Mathematics, Economics, Physics, Statistics, Engineering or related field of study plus 1 year of experience in the job offered or as Model Risk Associate, Model Risk Auditor, Quantitative Analyst, or related occupation.
Skills Required: This position requires experience with the following: 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.
Job Location: 237 Park Ave, New York, NY 10017.
Full-Time. Salary: $160,000.00-$215,000.00 per year.
We offer a competitive total rewards package including base salary determined based on the role, experience, skill set and location. Those in eligible roles may receive commission-based pay and/or discretionary incentive compensation, paid in the form of cash and/or forfeitable equity, awarded in recognition of individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more. Additional details about total compensation and benefits will be provided during the hiring process.
We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. We also make reasonable accommodations for applicants’ and employees’ religious practices and beliefs, as well as mental health or physical disability needs. Visit our FAQs for more information about requesting an accommodation.
JPMorgan Chase & Co. is an Equal Opportunity Employer, including Disability/Veterans
Our professionals in our Corporate Functions cover a diverse range of areas from finance and risk to human resources and marketing. Our corporate teams are an essential part of our company, ensuring that we’re setting our businesses, clients, customers and employees up for success.
Benefits
- Equity
- Mental Health Support
- Tuition Reimbursement
Skills
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