JPMorgan Chase India | Quant Model Risk Analyst/Associate - Counterparty Credit Risk

Job responsibilities

• This is a unique opportunity for you to work in our team to partner with the Business to provide a comprehensive view.
• As a Quant Modelling Analyst/Associate you will be a member of the Model Risk Governance and Review group in Bengaluru covering Counterparty Credit Risk models where you will have exposure to multiple assets classes, collateral modelling, advanced modelling methodologies as wells as day-to-day interaction with Quantitative Research teams, Risk functions and trading desks.
• Perform assessments of the conceptual soundness of model specification, the appropriateness of the methodology for its intended purpose, reasonableness of assumptions and reliability of inputs and assessment of model limitations.
• Assess completeness of testing performed to support the correctness of the implementation.
• Perform ongoing performance monitoring tests and regulatory/non-regulatory back testing to ascertain that models are relevant and fit for purpose.
• Assist with model governance processes, model inventory and issue management and help to devise new model governance policies as and when required.
• Work closely with model developers, trading desks, and controls functions across the firm to understand methodology, usage and establish transparency around model controls, model limitations and performance.
• Model validation of trading models/pricers used in XVA, Counterparty Credit Exposure and IMM/Capital calculations and regulatory stress testing.

Requirements

• Exposure and IMM/Capital calculations and regulatory stress testing.
• Quantitative background with at least a bachelors degree in Mathematics, Science, Engineering, Statistics, Quant Finance, or similar.
• Strong quantitative, analytical, and problem-solving skills; knowledge of probability theory, statistics, mathematical finance, econometrics, numerical methods and stochastic calculus.
• Strong communication and interpersonal skills; ability to multi-task and meet deadlines.
• Ability to work independently, with remote supervision.
• Risk and control mindset: ability to ask incisive questions, assess materiality and escalate issue.
• Knowledge and interest in Python programming.
• Understanding of finance industry, particularly in modeling- valuation, risk, capital, forecasting, investment management.

JPMorgan Chase

JPMorgan Chase & Co. is one of the world's largest financial services firms, active in investment banking, commercial banking, asset and wealth management, and payments.

Its Indian global centres support the firm worldwide in finance, accounting, tax, controllership, risk, operations and technology. Typical roles for CAs and CPAs are product control, financial reporting, tax and regulatory reporting.

• Industry: Banking and financial services
• Headquarters: New York, USA
• In India: Corporate and investment banking in Mumbai; global corporate centres in Mumbai, Bengaluru and Hyderabad