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

Req #: 180011523_1
Location: Brooklyn, NY, US
Job Category: Accounting/Finance/Audit/Risk
Job Description:
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
Associate role in the Model Review Group (MRG) of JPMorgan (Machine learning model specific)
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 and risk manage securities for market, credit and liquidity risk
  • forecast liquidity / capital, and
  • measure counterparty risk
The Associate level position requires the successful candidate to 1) quantitatively evaluate complex econometric / mathematical forecasting models, and 2) build benchmark models in the process of evaluating (1). 
Given the firm’s recent focus on developing Machine Learning and Artificial Intelligence models, a significant portion of the successful candidate’s time is likely to eventually be spent on reviewing such models.  Such models are currently used to detect fraud, improve marketing techniques, and optimize order routing in markets.
The position is located in the New York tristate area (New York, NY or Jersey City, NJ).
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.
  • Evaluate the risk posed specifically by non-transparent and highly non-linear machine learning models, and suggest ways to mitigate such risks.
  • 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 document findings.
Desirable skills, experience, and qualifications
  • A Ph.D. or master’s degree in a quantitative field such as Finance, Economics, Math, Physics or Engineering is required
  • 0-3 years of experience.  Candidates with significantly more experience may be considered for more senior roles.
  • The candidate is expected to have an understanding of machine learning models.  Experience with large data sets and training ML models is required.
  • Understanding of statistics / econometrics
  • Thorough knowledge of at least one programming language such as Matlab, R, Python, C/C++, etc. is required
  • Communication skills are important since the role requires interacting with many groups across the firm as well as producing documents for both internal and external (regulatory) consumption
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