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Firmwide Risk – Model Risk Group – Quantitative Analyst – Model Validation – Value at Risk

Req #: 180006237
Location: London, ENG, UK
Job Category: Admin/Secretarial
Job Description:
Corporate - Risk - Quantitative Analyst – Model Review – Value at Risk - Associate
The Model Risk Governance and Review Group (MRGR) is responsible for conducting model validation activities in order to identify, measure, and mitigate model risk. The objective of the group is to ensure that models developed within the organisation are used appropriately for the business context for which they were designed, that key modelling assumptions and uncertainties are understood and quantified, that model users are aware of the models’ strengths and limitations and how these may impact their decision making.  
The Role:
  • The model review group act like an internal peer-review function, tasked with evaluating the assumptions and uncertainties associated with quantitative risk and valuation models.      
  • 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, along with many other applications. Model Risk arises from the potential adverse consequences of decisions made based on incorrect or misused model outputs and reports, leading to financial loss, poor business decision making, or reputational damage.
  • Pricing and risk measurement models for financial derivatives products traded by the Investment Bank (IB) client businesses are one of the areas of focus for MRG. Sound usage of these models requires a deep understanding of the theoretical underpinnings, expertise of the underlying markets used to manage risk, and an understanding of model performance in different regimes.
  • This team carries out model validation activities and works closely with Risk, Finance and FO professionals to review model validation findings, on-going model risk measurement and risk mitigating strategies
  • Carry out model validation activities, including model reviews and model risk measurement projects, for market risk capital models (such as Value-at-Risk, Specific Risk, Stress VBM, Comprehensive Risk Measure, Incremental Risk
  • Capital) across a variety of asset classes:
  • Perform independent analysis, development of benchmark models and implementation of statistical tests in order to identify and quantify model uncertainties.  Analysis is largely conducted in frameworks written in Python and  R, with the aim of producing repeatable and objective metrics for the assessment of a given model.    
  • 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.
  • Risk measurement projects: identify alternative ways of measuring and aggregating risk, design and implement experiments to assess their effectiveness; compare the model results with empirical evidence and/or outputs from alternative methodologies;
  • Liaise with FO, Quants, Market Risk and Valuation Control Groups to understand
Essential skills and experience
  • Relevant experience in quantitative research, model development or model validation of capital or derivative pricing models in a financial institution.
  • PhD or MS degree in a quantitative areas (Math Finance, Statistics, Applied Math, Physics, Computer Science, Engineering or similar).
  • Good command of statistics and some experience with econometric analysis of time series.
  • Excellent analytical and problem solving abilities.
  • Deep understanding of financial mathematics and risk-neutral pricing.
  • Inquisitive nature, ability to ask right questions and escalate issues. Risk & Control mindset.
  • Excellent communication skills (written and verbal).
  • Team work oriented.
About J.P. Morgan’s Corporate & Investment Bank
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.  Further information about J.P. Morgan is available at
JPMorgan Chase & Co. offers an exceptional benefits program and a highly competitive compensation package. JPMorgan Chase & Co. is an Equal Opportunity Employer.
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