Quant Model Risk Vice President

Quant Model Risk Vice President - Interest Rates Team

JPMorgan Chase is seeking a Quant Model Risk Vice President to join our Interest Rates team within the Model Risk Governance and Review Group. This group is responsible for comprehensive model risk management across the firm. In this role, you will assess and mitigate the model risk associated with complex valuation and risk measurement models for Interest Rate derivatives. You will gain exposure to various business and functional areas and collaborate closely with model developers and users. Additionally, you will manage, train, and mentor junior team members.

Job Responsibilities

• Conduct model reviews, analyzing the conceptual soundness of complex pricing models, engines, and reserve methodologies.
• Assess model behavior and the suitability of pricing models/engines for specific products and structures.
• Provide guidance on model usage and serve as the primary contact for the business regarding new and existing model changes.
• Develop and implement alternative model benchmarks, comparing outcomes from various models and designing model performance metrics.
• Liaise with model developers, Risk, and Valuation Control Groups to offer guidance on model risk.
• Regularly evaluate model performance.
• Manage and develop junior members of the team.

Required Qualifications, Capabilities, And Skills

• 7 years of experience in a Front Office (FO) or model risk quantitative role.
• Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis.
• Master's degree, PhD, or equivalent in a quantitative discipline.
• Inquisitive nature with the ability to ask pertinent questions and escalate issues.
• Excellent communication skills (written and verbal).
• Good understanding of option pricing theory and quantitative models for pricing and hedging derivatives.
• Proficient coding skills in languages such as C/C++ or Python.

Preferred Qualifications, Capabilities, And Skills

• Experience with interest rates derivatives.

About Us

JPMorgan Chase, a leading global financial services firm, provides innovative solutions to millions of consumers, small businesses, and prominent corporate, institutional, and government clients. With a history spanning over 200 years, we are a leader in investment banking, consumer and small business banking, commercial banking, financial transaction processing, and asset management.

We value our people as our strength, recognizing that diverse talents drive our success. We are an equal opportunity employer committed to diversity and inclusion, and we provide reasonable accommodations for individuals with disabilities, religious practices, and beliefs.

About The Team

Our Corporate Functions professionals encompass a wide range of areas, including finance, risk, human resources, and marketing. These teams are vital to our company, ensuring the success of our businesses, clients, customers, and employees.

Key skills/competency

• Model Risk Management
• Interest Rate Derivatives
• Quantitative Analysis
• Stochastic Processes
• Option Pricing Theory
• C/C++
• Python
• Risk Measurement
• Valuation Control
• Team Management