Quant Model Risk Vice President - Rates in Bristol

hackajob is collaborating with J.P. Morgan to connect them with exceptional professionals for this role.

We are looking for a new member to join our Interest 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 Vice President in the Interest Rates team, you will assess and help mitigate the model risk of complex models used in the context of valuation and risk measurement for Interest Rate derivatives. Additionally, you will have an opportunity for exposure to a variety of business and functional areas as well as work closely with model developers and users. You will also have managerial responsibility to oversee, train and mentor junior members of the team.

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 acts as first point of contact for the business on all new models and changes to existing models.
• Develops and implements alternative model benchmarks and compares the outcome of various models; designs model performance metrics.
• Liaises with model developers, Risk and Valuation Control Groups and provides guidance on model risk.
• Evaluates model performance on a regular basis.
• Manages and develops junior members of the team.

Required qualifications, capabilities, and skills:

• 5+ years of experience in a FO or model risk quantitative role.
• 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.

Preferred qualifications, capabilities, and skills:

• Experience with interest rates derivatives.

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.