Model Risk Governance and Review Group (MRGR) carries out the review of models used across the firm and model risk governance. MRGR has a global presence across New York, London, Mumbai, and Paris.

As a part of the group you will be assessing and helping mitigate the model risk of complex models used in the context of valuation, risk measurement, the calculation of capital, and more broadly for decision-making purposes with the use of derivative instruments. Your responsibilities will include evaluation of conceptual soundness; designing and conducting experiments to compare a model's prediction against actual outcomes or against the output of alternative benchmark models; designing and monitoring model performance metrics.

This role is an opportunity for you as model development and model validation quant to have an attractive career path in a dynamic setting working closely with Front Office Trading Desks, Desk Quants or Model Developers, Risk and Finance professionals, where they act as key stakeholders on day-to-day model-related risk management decisions.

The role currently available lies within MRGR London and will have a focus on the review of Credit derivatives models and model risk governance.

Job responsibilities

• Carry out model reviews: analyse conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behavior and suitability of pricing models/engines to particular products/structures.
• Develop and implement alternative model benchmarks and compare the outcome of various models; design model performance metrics.
• Liaise with model developers, Trading Desk, Risk and Finance professionals to provide oversight and guidance on model risk and appropriate usage, controls around model restrictions & limitations, and findings for ongoing performance assessment & testing
• Maintain model risk control apparatus of the bank for the coverage area & serve as first point of contact
• Keep up with the latest developments in coverage area in terms of products, markets, models, risk management practices and industry standards
• Manage a sub-team of people carrying out review and governance.

Required qualifications, capabilities, and skills
We are looking for someone excited to join our organization. If you meet the minimum requirements below, you are encouraged to apply to be considered for this role.

• Previous experience in a Front Office or model risk quantitative role.
• Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis.
• Good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives).
• MSc, PhD or equivalent.
• C/C++ programming, Python.
• Inquisitive nature, ability to ask right questions and escalate issues, excellent communication skills (written and verbal).
• Team work oriented.

Preferred qualifications, capabilities, and skills

The following additional items will be considered but are not required for this role

• Experience with Monte Carlo and numerical methods.
• Experience with Credit derivatives

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. Our first-class business in a first-class way approach to serving clients drives everything we do. We strive to build trusted, long-term partnerships to help our clients achieve their business objectives.

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. In accordance with applicable law, we make reasonable accommodations for applicants' and employees' religious practices and beliefs, as well as any mental health or physical disability needs.