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Model Risk Governance and Review Group (MRGR) carries out the review of models used across the firm and model risk governance. MRGR has a global presence across New York, London, Mumbai, and Paris.

As part of MRGR team, you can expect to deal with developing model risk policy and control procedures, providing guidance on a model's appropriate usage in the business context, evaluating ongoing model performance testing, and ensuring that model users are aware of the model strengths and limitations.

Model manager roles within MRGR provide attractive career paths for you as model development and model validation quant in a dynamic setting working closely with Front Office Trading Desks, Desk Quants or Model Developers, Risk and Finance professionals, where they act as key stakeholders on day-to-day model-related risk management decisions as well as conduct independent model validation of new and existing models.

Job responsibilities

You will be a member of the team covering equity derivatives models, and will focus on the following activities:

• 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 model developers, Trading Desk, Risk and Finance professionals to provide oversight and guidance on model risk and 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

Required qualifications, capabilities, and skills

• Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis.
• Good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives).
• Experience with Monte Carlo and numerical methods.
• Very strong analytical and problem solving abilities.
• MSc, PhD or equivalent.
• C/C++ programming, Python.
• Inquisitive nature, ability to ask right questions and escalate issues, excellent communication skills (written and verbal).
• Team work oriented.

Preferred qualifications, capabilities, and skills

• Experience with equity derivatives
• Preferably with front office quant experience

J.P. Morgan is a global leader in financial services, providing strategic advice and products to the world's most prominent corporations, governments, wealthy individuals and institutional investors. Our first-class business in a first-class way approach to serving clients drives everything we do. We strive to build trusted, long-term partnerships to help our clients achieve their business objectives.

We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. In accordance with applicable law, we make reasonable accommodations for applicants' and employees' religious practices and beliefs, as well as any mental health or physical disability needs.