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Quant Modelling Associate

1 month ago


Mumbai Maharashtra, India JPMorgan Chase Full time

Are you looking for an exciting opportunity to join a dynamic and growing team in a fast paced and challenging area? This is a unique opportunity for you to work in our team to partner with the Business to provide a comprehensive view.
As a Quant Modelling Associate in our Risk Management and Compliance team, you'll play a pivotal role in maintaining JPMorgan Chase's strength and resilience. You'll anticipate emerging risks and use your expertise to tackle challenges affecting our company, customers, and communities. You'll be part of the Model Risk Governance and Review (MRGR) team, responsible for independent model review and governance activities to manage Model Risk. MRGR Trading focuses on valuation and risk-management models used within the Corporate & Investment Bank, particularly on Derivatives Instruments, involving complex and advanced modeling techniques.

**Job responsibilities**:

- Evaluate conceptual soundness of model specifications, reasonableness of assumptions, reliability of inputs, completeness of testing, correctness of implementation, and suitability and comprehensiveness of performance metrics and risk measures
- Perform independent testing of models by replicating or building benchmark models
- Design and implement experiments to measure the potential impact of model limitations, parameter estimation errors, and deviations from model assumptions; compare model outputs with empirical evidence or outputs from model benchmarks
- Evaluate the risks posed by non-transparent model parameters and/or non-linear relationships, and suggest ways to mitigate such risks
- Document the model review findings and communicate them to stakeholders
- Serve as the first point of contact for model governance related inquiries for the coverage area, and help identify and escalate issues to ensure that their resolutions are sound and timely
- Provide guidance on the appropriate usage of models to model developers, users, and other stakeholders in the firm
- Stay abreast of the ongoing performance testing outcomes for models used in the coverage area, and communicate those outcomes to stakeholders
- Maintain the model inventory and model metadata for the coverage area
- Maintain the pace with the latest developments in coverage area in terms of products, markets, models, risk management practices, and industry standards

**Required qualifications, capabilities, and skills**:

- Master's degree in a quantitative discipline such as Math, Physics, Engineering, Computer Science, Economics or Finance - with minimum 3 years of relevant working experience or a PhD.
- Excellence in probability theory, stochastic processes, statistical/economic modeling, partial differential equations, and numerical analysis.
- Understanding of options and derivative pricing theory and risks
- Proficient in Python, R, Matlab, C++, or other programming languages
- Risk and control mindset: ability to ask incisive questions, assess materiality of model issues, and escalate issues appropriately
- Strong communication skills with the ability to interface with front office traders, and other functional areas in the firm on model-related issues; and produce documents for internal and external (regulatory) consumption
- Strong analytical and problem-solving abilities

**Preferred qualifications, capabilities, and skills**:
Knowledge of machine learning is not required but a plus.

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. We also make reasonable accommodations for applicants' and employees' religious practices and beliefs, as well as mental health or physical disability needs. Visit our FAQs for more information about requesting an accommodation.