Description
We are looking for a recent member to join our Rates team in the Model Risk Governance and Review Group which is responsible for end-to-end model risk management across the firm.

As a Quant Model Risk Analyst you will assess and help 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. Additionally, you will have an prospect for exposure to a variety of business and functional area as well as will work closely with model developers and users.

Job responsibilities
Carries 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
Provides guidance on model usage and act as first point of contact for the business on all new models and changes to existing models




Develop and implement alternative model benchmarks and compare the outcome of various models; Design model performance metrics
Liaises with model developers, Risk and Valuation Control Groups and provide guidance on model risk
Evaluates model performance on a regular basis

Required qualifications, capabilities, and skills
Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis
MSc, PhD or equivalent in a quantitative discipline
Inquisitive nature, ability to ask right questions and escalate issues
Excellent communication skills (written and verbal)
Positive understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives)
Good coding skills, for example in C/C++ or Python

Preferred qualifications, capabilities, and skills

The following additional items will be considered but are not required for this role:
Experience with Rates derivatives

📌 Quant Model Risk Analyst Mumbai (India)
🏢 JPMorganChase
📍 India