J.P. Morgan is a leader in financial services, offering innovative and intelligent solutions to clients in more than 100 countries with one of the most comprehensive global product platforms available. We have been helping our clients to do business and manage their wealth for more than 200 years and we keep their interests foremost in our minds at all times. This combination of product strength, intellectual capital and character sets us apart as an industry leader. J.P. Morgan is part of J.P. Morgan Chase & Co. (NYSE: JPM), a global financial services firm with assets of $2.0 trillion.
The Model Risk Group (MRG) carries out the review of models used across the firm. The group assesses and helps 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.
Mortgages, mortgage backed securities and derivative instruments are widely used in the Bank's businesses as part of the core trading activities or for risk management purposes. These instruments make extensive use of models subject to validation by MRG.
Model validation includes an 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; and designing and monitoring model performance metrics.
MRG partners with Risk and Finance professionals and works closely with FO quants as well as traders. Team members have opportunities for exposure to a variety of business areas.
Carry 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;
Develop and implement alternative model benchmarks and compare the outcome of various models; Design model performance metrics.
Liaise with FO quants, traders, Risk and Valuation Control Groups and provide guidance on model risk.
Essential skills, experience, and qualifications:
Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis.
Very strong analytical and problem solving abilities.
PhD or equivalent degree in Math, Math Finance, Physics, Engineering, Computer Science or Econometrics.
C/C++ programming, Visual Basic.
Inquisitive nature, ability to ask right questions and escalate issues, excellent communication skills (written and verbal).
Team work oriented.
Very good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives) and mortgage models.
Desirable skills, experience, and qualifications:
Trading desk support, model validation, or model design experience.
Experience with mortgage prepayment modeling, MSR or credit modeling.
Experience with Monte Carlo and numerical methods.
7+ years experience of relevant quantitative finance research, risk analysis, or trading experience.
JPMorgan Chase & Co. offers an exceptional benefits program and a highly competitive compensation package.
JPMorgan Chase & Co. is an Equal Opportunity and Affirmative Action Employer, M/F/D/V
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