25 Bank Street, Canary Wharf, London, Greater London, E14 5JP
Full-time
Onsite
New Grad, Entry Level
J.P. Morgan is a global leader in financial services, providing strategic advice and products to the world’s most prominent corporations, governments, wealthy individuals and institutional investors. As a Quant Model Risk Associate in the Model Risk Governance and Review team, you will assess and help mitigate the model risk of complex models used in valuation, risk measurement, and decision-making purposes.
Carries out model reviews: analyze conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behavior and suitability of pricing models/engines to particular products/structures
Provides guidance on model usage and act as first point of contact for the business on all new models and changes to existing models
Develop and implement alternative model benchmarks and compare the outcome of various models; Design model performance metrics
Liaises with model developers, Risk and Valuation Control Groups and provide guidance on model risk
Evaluates model performance on a regular basis
Qualification
Required
Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis
MSc, PhD or equivalent in a quantitative discipline
Inquisitive nature, ability to ask right questions and escalate issues
Excellent communication skills (written and verbal)
Good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives)
Good coding skills, for example in C/C++ or Python
Preferred
Experience with Rates derivatives
Experience in a FO or model risk quantitative role
Benefit
JPMorganChase is a financial services company providing banking, investment, financial management, and related services. It is a sub-organization of PricingDirect.
