This job has closed.

hackajob · 2 days ago

Model Risk - Quant Modeling Lead - Vice President

New York, NY

Full-time

Onsite

Senior Level

Hackajob is collaborating with J.P. Morgan to connect them with exceptional tech professionals for the role of Quant Model Risk Vice President. In this role, you will assess and mitigate risks associated with complex models, drive continuous improvement, and manage junior team members while collaborating with various business areas.

Artificial Intelligence (AI)Generative AIHuman ResourcesRecruitingSoftware

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 analysisModel validationProgramming C/C++Programming PythonOption pricing theoryAdvanced degreeFinancial modelingAnalytical skillsCuriosityCommunication skillsTeam collaborationOwnership

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