Quant Model Risk Associate - FX and Emerging Markets

Quant Model Risk Associate – FX and Emerging Markets

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We are looking for a new member to join our FX and Emerging Markets team in the Model Risk Governance and Review Group which is responsible for end-to-end model risk management across the firm. We adopt a comprehensive model risk management approach, assessing models within their usage context and based on relevant success criteria. Our role involves identifying limitations, communicating them effectively, and assisting model users in the design compensating controls. This approach requires strong technical skills and business understanding, offering an excellent opportunity for skill development, setting us apart from typical validation teams.

Job Responsibilities

• Carry 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
• Provide 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
• Liaise with model developers, Risk and Valuation Control Groups and provide guidance on model risk
• Evaluate 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 elevate 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 FX derivatives
• Experience in a FO or model risk quantitative role.

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.

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