Job Description

As a Quant Model Risk Associate 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 opportunity 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 current 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)
Good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives)
Good coding skills, for example in C/C++ or Python
3+ years in a FO or model risk quantitative role.

Preferred Qualifications, Capabilities, And Skills

Experience with Rates derivatives

ABOUT US

JPMorganChase, 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

📌 Quant Model Risk Associate (Mumbai)
🏢 JPMorganChase
📍 Mumbai