At a Glance
- Tasks: Assess and mitigate model risk for complex interest rate derivatives.
- Company: Join a leading financial firm with a focus on innovation.
- Benefits: Competitive salary, mentorship opportunities, and career advancement.
- Other info: Dynamic team environment with opportunities to mentor junior members.
- Why this job: Make an impact in model risk management while developing your skills.
- Qualifications: 5+ years in quantitative roles and strong coding skills required.
The predicted salary is between 63000 - 77000 £ per year.
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 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.
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.
Hiring: Quant Model Risk Senior Associate/Vice President - Rates employer: Jpmorgan Chase & Co.
JPMorgan Chase & Co. is an exceptional employer, offering a dynamic work environment in Bournemouth where innovation and collaboration thrive. Employees benefit from a strong focus on professional development, inclusive team culture, and the opportunity to work with cutting-edge technology in a supportive atmosphere that values continuous improvement and engineering excellence.
