Model Risk Governance

2 weeks ago

Bengaluru, India JPMorgan Chase Bank, N.A. Full time

As part of Risk Management and Compliance, you are at the center of keeping JPMorgan Chase strong and resilient. You help the firm grow its business in a responsible way by anticipating new and emerging risks, and using your expert judgement to solve real-world challenges that impact our company, customers and communities. Our culture in Risk Management and Compliance is all about thinking outside the box, challenging the status quo and striving to be best-in-class.

The Model Risk Governance and Review Group (MRGR) assesses model risk at the firm, conducts independent model reviews, governs, and provides guidance around a model's appropriate usage. The primary role of the Senior Associate is to constructively challenge, and review methodologies used by Corporate Treasury to manage capital and liquidity performing quantitative analysis and research to justify core assumptions. These assessment additionally requires input analysis, implementation review (in Python / R / Excel), sensitivity analysis of the outputs among differing regimes. You will also be interacting with a variety of internal counterparts across the firm, learning about the many aspects relevant in assessing the potential implications of Treasury Risk on a large global financial institution such as JPMorgan Chase. The Senior Associate will support Review Lead on model reviews and governance activities. Ability to think critically, take ownership of the review process and communicate effectively (both spoken and written) are critical to the role, as well as a comfort level with statistical analysis.
**Job responsibilities**:

- Work with the Review Lead to independently review and challenge key estimation methodologies and analytics/tools used in firm-wide corporate treasury, liquidity and deposit forecasting methodologies. Local management of a team of India-based reviewers
- Model reviews: 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.
- Model risk measurement: 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 and/or outputs from model benchmarks.
- Draft assessment reports, summarizing the independent assessment of the methodologies, which are distributed to senior management and to regulators.
- Participate in various process enhancement initiatives for innovations/automation.
- Work with model managers to manage accuracy of Model inventory, ongoing model performance monitoring, model change control, and participate in discussions with senior management on model risk.
- Liaise with stakeholders including model developers and users to monitor usage and performance of the models and syndicate findings of governance topics.

**Required qualifications, capabilities, and skills
- Master's degree (or equivalent) in Economics, Statistics, Applied Math, Mathematical Finance
- 5-7 years of experience in financial services/ quantitative research, ideally in model development, validation, or use (beneficial if covering Treasury or interest rate models OR equivalent experience in Treasury / Liquidity / Interest Rate Risk management)
- Good people skills: ability to organize a team of reviewers, project management, allocate resources towards the objective of the unit with an eye towards delivering under tight deadlines
- Strong sense of ownership and ability to work independently in producing deliverables with high standards
- Strong communication skills. Ability to convey information clearly, accurately and succinctly (both written and verbally)
- Coding experience (Python and/or R) preferred

**Preferred qualifications, capabilities, and skills**
- FRM/ CFA certification
- Knowledge of regulatory guidelines (SR 15-18, SR 11-7)
- Hands-on programming experience with Python / R

JPMorgan Chase & Co., 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 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 ide

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