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Corporate - Model Risk Governance & Review - Model Review Group (CCR) - Associate

Req #: 170106273
Location: Jersey City, NJ, US
Job Category: Accounting/Finance/Audit/Risk
Potential Referral Amount: 0 US Dollar (USD)
JPMorgan Chase & Co. (NYSE: JPM) is a leading global financial services firm with assets of $2.6 trillion and 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 www.jpmorganchase.com.
 

 Financial Institutions routinely use models for a broad range of activities including credit underwriting, valuing financial instruments, measuring and managing risk, assessing the adequacy of reserves and capital resources, and many other applications. Model Risk arises from the potential adverse consequences of making decisions based on incorrect or misused model outputs and reports, leading to financial loss, poor business decision making, or reputational damage.

  • Model Risk Group (MRG) carries out the reviews of models used across the firm. The group assesses and helps mitigate the model risk of complex models used in the context of valuation, risk measurement, the calculation of capital, and more broadly for decision-making purposes. Derivative instruments are widely used in the Bank's businesses as part of the core trading activities or for risk management purposes. Derivative instruments make extensive use of models subject to validation by MRG. Model validation includes an evaluation of conceptual soundness; designing and conducting experiments to compare a model's prediction against actual outcomes or against the output of alternative benchmark models; and designing and monitoring model performance metrics. MRG partners with Risk and Finance professionals and works closely with FO quants as well as traders. Team members have opportunities for exposure to a variety of business areas.
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  • Core responsibilities:

    • Carrying out model validation and designing model risk measurement activities, for models used to value and risk manage CVA/DVA/FVA valuation adjustments, compute Counterparty Credit Risk (CCR) monitoring metrics and capital requirements.
    • Model reviews: evaluate the conceptual soundness of pricing engines and its suitability for capturing risk; the reasonableness of assumptions and reliability of inputs; the consistency of approaches used across products and asset classes; the completeness of the testing performed to support the methodology choices and the correctness of the implementation; the suitability and comprehensiveness of performance metrics and risk measures associated with the use of the model. The scope of models naturally covers a variety of asset classes and model usages.
    • Model risk measurement: design and implement experiments to measure on-going model performance, the potential impact of model limitations, parameter estimation error or deviations from model assumptions; compare model outputs with empirical evidence and/or outputs from alternative model benchmarks
    • Liaise with FO, Quants, Market Risk and Valuation Control Groups to understand usage of models within the business context, assess models’ fit-for-purpose for specific portfolios and netting sets  and syndicate the findings of model validation
     
    Essential skills, experience, and qualifications:
    • PhD or MS degree in a quantitative areas (Math Finance, Applied Math, Physics, Engineering, Statistics/Econometrics or similar)
    • Quant development, validation, trading or risk management experience with exotic derivatives
    • Deep understanding of pricing models, their limitations, CVA/DVA/FVA concepts and their hedging
    • Excellent analytical and problem solving abilities
    • Excellent communication skills (written and verbal)
      Inquisitive nature, ability to ask right questions and escalate issues; risk & control mind-set
       
      Desirable skills, experience, and qualifications:
    • Quant experience with building and/or validating of counterparty credit risk models
      Programming experience (Python/C++)
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