Corporate - Model Risk and Development - Associate/Vice President - New York

• Company

  J.P.Morgan.

• Location

  USA-NY-New York City

• Remuneration

  Competitive

• Position Type

  Permanent

• Employment type

  Full time

• Updated

  27-Oct-2013

• eFC Ref no

  1290010

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See job description for details

J.P. Morgan is a leader in financial services, offering innovative and intelligent solutions to clients in more than 100 countries with one of the most comprehensive global product platforms available. We have been helping our clients to do business and manage their wealth for more than 200 years and we keep their interests foremost in our minds at all times. This combination of product strength, intellectual capital and character sets us apart as an industry leader. J.P. Morgan is part of JPMorgan Chase & Co. (NYSE: JPM), a global financial services firm with assets of $2.0 trillion.

Job Summary:

• The Model Risk Group (MRG) carries out the review of models used across the firm. The group assesses and helps mitigate the model risk of complex models used in the context of valuation, risk measurement, the calculation of capital, and more broadly for decision-making purposes.
• Mortgages, mortgage backed securities and derivative instruments are widely used in the Bank's businesses as part of the core trading activities or for risk management purposes. These instruments make extensive use of models subject to validation by MRG.
• Model validation includes an evaluation of conceptual soundness; designing and conducting experiments to compare a model's prediction against actual outcomes or against the output of alternative benchmark models; and designing and monitoring model performance metrics.
• MRG partners with Risk and Finance professionals and works closely with FO quants as well as traders. Team members have opportunities for exposure to a variety of business areas.

Core responsibilities:

• Carry out model reviews: analyze conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behavior and suitability of pricing models/engines to particular products/structures;
• Develop and implement alternative model benchmarks and compare the outcome of various models; Design model performance metrics.
• Liaise with FO quants, traders, Risk and Valuation Control Groups and provide guidance on model risk.

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