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Corporate - Model Risk Governance & Review - Model Review Group - ED

Req #: 180021247_2
Location: Jersey City, NJ, US
Job Category: Accounting/Finance/Audit/Risk
Potential Referral Amount: 5000 US Dollar (USD)
JPMorgan Chase & Co. (NYSE: JPM) is a leading global financial services firm with operations worldwide. The firm is a leader in investment banking, financial services for consumers and small business, commercial banking, financial transaction processing, and asset management. A component of the Dow Jones Industrial Average, JPMorgan Chase & Co. serves millions of consumers in the United States and many of the world's most prominent corporate, institutional and government clients under its J.P. Morgan and Chase brands. Information about JPMorgan Chase & Co. is available at
The Model Risk Governance and Review Group (MRGR) oversees model risk at JPMorgan, conducts independent model reviews and provides guidance around a model’s appropriate usage.  The Model Review Group (MRG) is a part of MRGR and is tasked with assessing and mitigating the risk posed by models used to:
  • value securities,
  • forecast liquidity / capital, and
  • measure counterparty risk. 
Core responsibilities
  • Evaluate conceptual soundness of econometric and mathematical model specification; reasonableness of assumptions; reliability of inputs; completeness of testing performed; correctness of implementation; and suitability / comprehensiveness of performance metrics and risk measures.
  • Design and implement experiments to measure the potential impact of model limitations, parameter estimation errors or deviations from model assumptions; compare model outputs with empirical evidence and/or outputs from model benchmarks.
  • Liaise with front office, Finance and Risk professionals to monitor usage and performance of the models.
  • Help senior MRG researchers evaluate econometric and mathematical models developed by the office of the Chief Investment Officer (CIO), and various other lines of business such as the retail bank, commercial bank and investment bank
  • Evaluate market conditions under which a given model is likely to break down
  • Identify market risks most relevant to the bank’s various lines of business
  • Cogently documenting analysis findings
Desirable skills, experience, and qualifications
  • The candidate is expected to be self-driven, have an understanding of risk analysis in at least some of the areas mentioned above, and some ability to model derivatives.
  • A Ph.D. or master’s degree in a quantitative field such as Finance, Economics, Math, Physics or Engineering is required
  • 7 - 10 years of experience
  • Thorough knowledge of at least one programming language such as Matlab, R, Python, C/C++, etc. is required
  • Deep understanding of statistics / econometrics
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