J.P. Morgan's Corporate & Investment Bank is a global leader across banking, markets and investor services. The world's most important corporations, governments and institutions entrust us with their business in more than 100 countries.
With $18 trillion of assets under custody and $393 billion in deposits, the Corporate & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world.
The Model Governance Group (MGG) has been recently created as part of the firm-wide Risk Oversight and Control Group, to ensure that the firm has outstanding controls, superior operational risk capabilities and continuous improvement
in oversight, governance, compliance and remediation practices. MGG complements the firm's Model Review Group by assigning a team of Model Managers to each major line of business.
The Model Managers are placed close to the businesses they cover, in order to provide guidance on, and control over, model usage. The team focuses on evaluating the usage, deployment and performance of models including the appropriateness of key inputs and consideration of the reliance placed upon all outputs.
- Provide guidance on model usage and enforce approval limits.
- Assess appropriateness of model inputs, calibration quality and reliance on model outputs
- Carry out reviews requiring rapid turnaround; refer remainder to Model Review Group
- Act as first point of contact for the business on all new models and changes to existing models
- Identify and highlight any gaps in the model governance and oversight framework
- Work with the business to maintain the model inventory
- Work across lines of businesses to ensure consistent model application
- Strong quantitative skills: Masters degree or equivalent in a quantitative discipline.
- Demonstrable experience in Rates modeling and derivatives.
- Derivatives pricing knowledge and market experience
- Ability to understand and challenge modeling assumption as well as concrete technical model documentation: Monte
Carlo, Tree/PDE and other numerical schemes.
- Strong communication skills and ability to interface with key partners
- Risk and control mindset: ability to ask incisive questions and escalate issues
- Suitable backgrounds include:
- Quantitative research
- Model review/validation
- Trading or structuring
- Market/credit risk management