Chase · 2 months ago
Risk Management - Model Risk Vice President
237 Park Ave, New York, NY, 10017, US
Full-time
Onsite
Senior Level
$147K/yr - $215K/yrJPMorgan Chase is seeking a Quant Modeling Lead within their Risk Management team to assess and mitigate risks associated with complex models used for valuation and decision-making. This role involves leading model reviews, guiding model usage, and collaborating with model developers to ensure model performance and compliance with risk standards.
BankingFinancial Services
Responsibilities
Lead model reviews: analyze conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behavior and suitability of pricing models/engines for Mortgage-Backed Securities and other securitization products
Guide on model usage and act as first point of contact for the business on all new models and changes to existing models
Develop and implement alternative model benchmarks and compare the outcome of various models; Design model performance metrics
Liaises with model developers, Risk and Valuation Control Groups and provide guidance on model risk
Evaluate model performance on a regular basis
Qualification
Required
Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis
MSc, PhD
Inquisitive nature, ability to ask right questions and escalate issues
Excellent communication skills (written and verbal)
Good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives)
Good coding skills, for example in C/C++ or Python
Preferred
Experience with Securitized Products and Interest Rate Derivatives
Experience with Prepayment Models for Securitization Products
MSc, PhD or equivalent in a quantitative discipline
Experience in a FO or model risk quantitative role
Company
Chase
Chase provides broad range of financial services. It is a sub-organization of JP Morgan Chase.
Founded in 2000
10001+ employees
Funding
Current Stage
Late StageLeadership Team
Mike McDonnell
Managing Director, Head of Chase Travel Platform Product
Nicole Sanchez
Managing Director, Consumer Bank, GM and Product Executive, Growth Financial Products
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