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Chase · 4 months ago

Model Risk - Quant Modeling Lead - Vice President

237 Park Ave, New York, NY, 10017, US

Full-time

Onsite

Senior Level

$147K/yr - $215K/yr

Chase is a leading financial institution, and they are seeking a Quant Model Risk Vice President to join their Model Risk Governance and Review team. In this role, you will assess and mitigate risks associated with complex models, oversee junior team members, and collaborate with various business areas to ensure model compliance and performance.

BankingFinancial Services

Responsibilities

Perform thorough reviews of complex credit, interest rate, and equity pricing models, including valuation engines and reserve methodologies. Analyze the conceptual soundness, model design, and appropriateness of models for specific products and structures

Evaluate model behavior and ensure the suitability of pricing models and engines for their intended applications, identifying potential limitations and areas for improvement

Develop and implement alternative model benchmarks. Design and maintain robust model performance metrics to compare and monitor the outcomes of various models

Continuously evaluate model performance, ensuring models remain fit for purpose and compliant with internal and regulatory standards. Recommend enhancements and oversee remediation where necessary

Serve as the primary point of contact for the business regarding new model implementations and changes to existing models. Provide expert guidance on model usage, limitations, and governance requirements

Liaise effectively with model developers, Risk, and Valuation Control Groups. Offer guidance and support on model risk management, validation standards, and regulatory expectations

Manage and develop junior team members, providing mentorship, guidance, and support to foster their professional growth and enhance overall team performance

Qualification

Quantitative modelingModel validationProgramming in PythonAdvanced degree in quantitative disciplineOption pricing theoryAnalytical skillsCommunication skillsTeam collaborationProblem-solving skillsMentorship

Required

Advanced degree (MSc, PhD, or equivalent) in a quantitative discipline such as mathematics, statistics, financial engineering, or related field

Advanced knowledge of probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis, with demonstrated ability to apply these concepts to financial modeling and risk assessment

Deep understanding of option pricing theory and quantitative models for pricing and hedging derivatives, including familiarity with stochastic calculus and risk-neutral valuation

Strong analytical and problem-solving skills, with an inquisitive mindset and the ability to formulate insightful questions, identify model limitations, and escalate issues appropriately

Excellent written and verbal communication skills, with the ability to clearly explain complex quantitative concepts to both technical and non-technical stakeholders

Proficient programming skills in languages such as C/C++, Python, or similar, with experience implementing numerical algorithms and developing model prototypes

Demonstrated curiosity and ownership, with a strong willingness to work collaboratively within a team-oriented environment

Extensive experience in front office model development or in model review, validation, and governance within financial services, with a strong understanding of credit, interest rate, and equity pricing models