Model Risk [Multiple Positions Available]

Model Risk [Multiple Positions Available] [MRMRSL045331.101726]
JPMorgan Chase & Co. — New York, NY

JPMorgan Chase & Co. has openings for Model Risk [Multiple Positions Available] in New York, New York. JOB TITLE: Model Risk [Multiple Positions Available]LOCATION: 237 Park Ave, New York, NY 10017.DUTIES: Validate risk models used in connection with regulatory capital measurement as well as market risk management. Identify, communicate, and manage model risk associated with the use of these models across all asset classes such as Equities, FX, Credit, Rates, Commodities. Evaluate conceptual soundness of model specification, reasonableness of assumptions and reliability of inputs, completeness of testing performed to support the correctness of the implementation, robustness of numerical aspects, suitability and comprehensiveness of performance metrics and risk measures associated with use of models. Design and implement experiments to measure the potential impact of model limitations, parameter estimation error or deviations from model assumptions, compare model outputs with empirical evidence or outputs from model benchmarks. Assess how evolving market conditions may lead to model performance degradation and managing the risk associated with this. Document and explain review findings to model developers and risk management. Ensure that model risks are correctly identified, documented and communicated to the relevant stakeholders.REQUIREMENTS: Master's degree in Applied Mathematics, Economics, Physics, Statistics, Engineering or related field of study plus 1 year of experience in the job offered or as Model Risk Associate, Model Risk Auditor, Quantitative Analyst, or related occupation. This position requires experience with the following: Mathematical skills in relation to models used in valuation and market risk management in international financial institutions; Analyzing and manipulating data sets with application to data used in valuation and risk management models; Modeling Value-At-Risk and regulatory and economic capital calculations, as well as models used in market risk management and stress testing including CCAR and ICAAP under different regulatory regimes; Derivatives pricing theory and financial products in Interest Rates, Equities, Commodities, Foreign Exchange and Structured Products; Quantitative finance modelling in Python using pandas, numpy, and scipy; writing technical documents and preparing presentations for senior management. Full-time. Salary: $160,000 - $215,000 per year. To apply for this position, please email your resume to my.resume@jpmchase.com with following job ID clearly indicated: [MR-MR-SL-045331.101726]. JPMorgan Chase & Co. is an Equal Opportunity and Affirmative Action Employer, M/F/D/V.