JPMorgan Chase | Jobs | Risk Modeling Analyst / Associate – Market / Credit Risk / VAR -Mumbai | BigDataKB.com | 24-02-22

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Job Location: Mumbai (All Areas)

Model Review Group – Market Risk/VaR Model Review

Description

As part of the firms model risk management function, J.P. Morgans Model Review  Group (MRG) is charged with performing model validation activities of complex Tier-1 & Tier- 2 Models. The review activity focusses on assessing the conceptual soundness of the model construct as well performing independent testing among other things.

Youโ€™ll make an impact by

  • Performing independent model reviews of quantitative models used by Market Risk Group for VaR computation purposes
  • Performing assessment of the conceptual soundness of model specification, the appropriateness of the methodology for its intended purpose, reasonableness of assumptions and reliability of inputs
  • Conducting performance analysis and implementation testing. Identify and highlight limitation of methodologies, identify and quantify misunderstood or understated risks
  • Assessing completeness of testing performed to support the correctness of the implementation 
  • Working with model developers and model users across the firm to understand methodology and usage 

General requirements

  • Quantitative background ideally with Masterโ€™s degree in Maths, Science, Finance, Engineering, Statistics, Quant Finance etc.
  • Strong quantitative, analytical, and problem solving skills; knowledge of probability theory, calculus, statistics, mathematical finance, econometrics, numerical methods
  • Knowledge of Market Risk/VaR Models
  • Good programming skills would be a plus, 
  • Strong communication and interpersonal skills
  • Strong project management and organizational skills; ability to multi-task and meet deadlines
  • Ability to work independently, with remote supervision
  • Risk and control mindset: ability to ask incisive questions, assess materiality and escalate issues

Apply Here

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