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About the Role
Validate risk models used in regulatory capital measurement and market risk management. Identify, communicate, and manage model risk across all asset classes.
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.
- Evaluate completeness of testing performed to support the correctness of the implementation.
- Evaluate robustness of numerical aspects.
- Evaluate 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.
Requirements
- 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
- 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.
Location
- 237 Park Ave, New York, NY 10017
Work Type
- Full-Time
Experience Level
- 1 year of experience
Education Level
- Master's degree in Applied Mathematics, Economics, Physics, Statistics, Engineering or related field of study
Salary/Compensations
- $160,000.00-$215,000.00 per year
Benefits
- Comprehensive health care coverage
- On-site health and wellness centers
- A retirement savings plan
- Backup childcare
- Tuition reimbursement
- Mental health support
- Financial coaching
About the Company
- JPMorganChase, one of the oldest financial institutions, offers innovative financial solutions to millions of consumers, small businesses and many of the world’s most prominent corporate, institutional and government clients under the J.P. Morgan and Chase brands.
- Our history spans over 200 years and today we are a leader in investment banking, consumer and small business banking, commercial banking, financial transaction processing and asset management.
- 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.
Equal Opportunity
- 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.
- JPMorgan Chase & Co. is an Equal Opportunity Employer, including Disability/Veterans