JP Morgan Chase - Vice President - Model Validation/Market Risk

Job summary :

- 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.

- The Model Risk Group (MRG) is responsible for conducting model validation to help identify, measure, and mitigate Model Risk. The objective is to ensure that models are used appropriately and that model users are aware of the models' strengths and limitations and the impact that these can have.

- MRG works closely with quants, Risk Management and Finance professionals, as well as other stakeholders from across the bank. Team members have opportunities for exposure to a variety of business areas.

Core responsibilities :

The successful candidate will be a member of the Model Risk Group and will be expected to contribute to a variety of review activities within the VaR and Bond space as well as managing on a day-to-day basis a team of reviewers. Typical review activities covered by the group include:

- Model reviews: 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.

- Ongoing performance assessment: comparison of model outputs with empirical evidence and/or outputs from model benchmarks.

Essential skills, experience, and qualifications :

- PhD or equivalent in Applied Mathematics, Physics, Statistics, Engineering or similar.

- Deep understanding of probability theory, econometrics, statistics, and numerical methods.

- Experience in dealing with large data sets.

- Excellent analytical and problem solving abilities.

- Inquisitive nature, ability to ask right questions and escalate issues.

- Excellent communication skills (written and verbal).

- Extensive model development or review experience in VaR (6+ years in a related field).

- Proven people management skills (2+ years managing a team).