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Corporate - Model Risk Governance & Review – Model Manager – Associate/VP

Req #: 180038556
Location: New York, NY, US
Job Category: Accounting/Finance/Audit/Risk
Job Description:

J.P. Morgan is a leading global financial services firm with assets of $2.1 trillion and operations in more than 60 countries. The firm is a leader in investment banking, financial services for consumers, small business and commercial banking, financial transaction processing, asset management and private equity. Information about J.P. Morgan is available at http://www.jpmorganchase.com/.

 

Model Risk Governance & Review (MRGR) is a Corporate Risk team within JPMC with the responsibility for developing the firmwide Model Risk Management (MRM) framework and coordinating the implementation of the framework across the firm. The Model Governance Group (MGG) within MRGR is the first point of contact for the business on Model Risk. MGG is responsible for working with the business on implementation of the firmwide Model Risk Policy and Procedures. Key responsibilities include independent reviews of models, ongoing performance monitoring, model change control, regular communication with the LoB on key model dependencies and developing issues, discussions with regulators on model risk etc. 
 
We are seeking a Model Manager for the Asset Management (AM) Model Governance Group within MRGR, reporting to the AM Lead Model Risk Officer. The AM MGG group interacts regularly with several firm-wide groups including: Model Review, the relevant Portfolio Manager or trading desk(s), VCG/Product Controllers, Market Risk, Compliance, Model Development, and Audit.
 
Model Manager Responsibilities include the following:
  • Perform independent model reviews, and document review findings and conclusions. Analyze quantitative models used by portfolio managers and traders in Asset Management to inform investment strategies, models used by risk managers to assess risks and set trading limits, and regulatory and economic capital models. Formulate independent testing procedures for these models. Review implementation testing and statistical analysis of models. Identify and highlight limitation of methodologies, identify and quantify misunderstood or understated model risks.
  • Work with AM business to manage the model risk of investment strategies and related models used in Asset Management across a wide range of asset classes, including Equity, Rates, Credit, FX, Mortgages and Commodities, by ensuring that the model exposure, market conditions, model limitations and scope of model usage are consistent with the model approval.
  • Develop, formulate and interpret internal risk policies, procedures and guidelines as it relates to Asset Management models and surrounding controls.
  • Define testing methodologies and criteria to evaluate model performance, and perform model performance assessment on a regular basis.
  • Perform annual model status assessment reviews by summarizing critical information around model performance, model reviews and progress on action items. Provide inputs into model policy and LOB procedures.
  • Work with model developers and front office to establish sound model risk and control practices. Work with other coverage partners such as Model Review Group, Risk, Finance, Tech and Audit to ensure that model risk is understood, captured, monitored and managed.
  • Build and ensure right level of model controls. In particular:
    • Ensure model information is captured accurately in the firmwide Model Database.
    • Evaluate periodic testing methodologies and results. Ensure models have adequate and reliable calibration processes in place to monitor model calibration for errors and failures and ensure that their resolutions are sound.
    • Ensure right level of operational controls are in place for the models
  • Work across organization units to ensure consistent model application and consistency of assumptions
  • Work with the business to conduct Annual Model Confirmation to ensure accuracy of the LOB’s model inventory
  • Act as the first point of contact in the model permissioning process, for changes, waivers and new models
  • Work with the model governance team on responding to model related inquiries from regulators.
  • Work with the Model Risk Officer for AM to provide leadership for the AM MGG team in executing all MGG activities and actively working with the LoB and broader MRGR team to streamline and improve existing processes.  Mentor junior members of the team as needed. 
 
  • Strong quantitative background with a minimum of 5 years of cumulative experience in one of the following areas:
    • Quantitative Model Development or Review (with relevant asset class expertise)
    • Asset management (with relevant asset class expertise)
    • Market Risk Management or another quantitative risk management function
  • Graduate degree (MS, PhD) in Engineering, Physics, Mathematics or a quantitative science.
  • Demonstrated knowledge of derivatives and one or more asset classes such as Equity, Fixed Income (Rates, Credit, Mortgages etc.) FX and Commodities
  • Coding experience in one or more languages such as R, Matlab, and/or VBA
  • Demonstrated knowledge of statistical analysis, stochastic calculus and derivatives pricing
  • Understanding of risk management models and/or methodologies
  • Understanding of optimization techniques, such as linear, quadratic and robust optimizations
  • Understanding of numerical methods, such as finite difference method and Monte Carlo simulation
  • Strong Risk & Control mindset, with ability to formulate, develop and interpret risk policies.

JPMorgan Chase&Co. offers an exceptional benefits program and a highly competitive compensation package.  JPMorgan Chase&Co. is an Equal Opportunity and Affirmative Action Employer, M/F/D/V

 

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