Model Governance Group – Quantitative Research – Associate / Vice President - Hong Kong
Location: HK-Hong Kong-Hong Kong-Chater House / 03761
About J.P. Morgan Chase & Co.
JPMorgan Chase & Co. (NYSE: JPM) is a leading global financial services firm with assets of $2.4 trillion and operations worldwide. The firm is a leader in investment banking, financial services for consumers and small businesses, commercial banking, financial transaction processing and asset management. A component of the Dow Jones Industrial Average, JPMorgan Chase & Co. serves millions of consumers in the United States and many of the world’s most prominent corporate, institutional and government clients under its J.P. Morgan and Chase brands. Information about J.P. Morgan is available at www.jpmorganchase.com
Engage in new model validation activities for a subset of models in the coverage area - evaluate conceptual soundness of model specification; reasonableness of assumptions and reliability of inputs; completeness of testing performed to support the correctness of the implementation; robustness of numerical aspects; suitability and comprehensiveness of performance metrics and risk measures associated with use of model.
Perform additional model review activities ranging from proposed enhancements to existing models, extensions to scope of existing models, use of approximate bookings, to providing transaction-specific approvals.
Liaise with Trading Desk, Risk and Finance professionals to provide oversight of and guidance on appropriate usage, controls around model restrictions & limitations, and findings for ongoing performance assessment & testing
Maintain model risk control apparatus of the bank for the coverage area & serve as first point of contact
Keep up with the latest developments in coverage area in terms of products, markets, models, risk management practices and industry standards
Strong quantitative & analytical skills: The role requires a strong quantitative background based on a PhD or Masters Degree (or equivalent) in a quantitative discipline such as Math, Science, Economics, Engineering, Quantitative/Math Finance, etc.
Expected experience in following areas: Interest Rate/Credit /Equity/FX/Commodity Derivatives pricing models, VaR Models, Counterparty Credit Exposure Models, probability theory, econometrics, statistics, and numerical methods.
Prior experience (2-4 years) in following backgrounds: Quantitative Model Development, Model Validation, Trading or Structuring, Market/Credit Risk Management…
Strong communication skills and ability to interface with other functional areas in the bank on model-related issues
Risk and control mindset: ability to ask incisive questions, converge on critical matters, assess materiality and escalate issues
- Asset Allocation
- Credit Risk
- Performance Metrics
- Regulatory Reporting
- Risk Management
- Value at Risk