Risk Management - Quant Modelling Senior Associate

Job Responsibilities

Engage in typical model validation activities - 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 model.

Perform additional model review activities ranging from proposing enhancements to existing models, assessing extensions to scope of existing models, developing benchmarking models.

Liaise with Risk and Finance professionals to provide oversight of and guidance on appropriate usage, controls around model restrictions & limitations, and findings for ongoing performance assessment and testing.

Required Qualifications, Skills And Capabilities

• Strong quantitative & analytical skills: The role requires a strong quantitative background based on a PhD or MSc Degree (or equivalent) in a quantitative discipline such as Math, Science, Engineering, Quantitative/Math Finance, etc.
• Strong technical skills in derivative pricing with deep understanding of stochastic calculus
• Strong knowledge and/or experience with interest rate modelling (for fixed income vanilla product pricing)
• Domain expertise in following areas: prepayment modeling across trading and traditional banking products, Interest Rate and Mortgage Backed Securities trading models.
• 1+ years of relevant working experience in areas such as Quantitative Model Development, Model Validation, Credit and/or Market Risk Management
• Strong communication skills and ability to interface with other functional areas in the bank on model-related issues
• Risk and control mindset: ability to ask incisive questions, converge on critical matters, assess materiality and escalate issues

About Us

JPMorgan Chase, 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. 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, 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.

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About The Team

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. Risk Management helps the firm understand, manage and anticipate risks in a constantly changing environment. The work covers areas such as evaluating country-specific risk, understanding regulatory changes and determining credit worthiness. Risk Management provides independent oversight and maintains an effective control environment.