Job Location: Mumbai (All Areas)
Model Review Group – Market Risk/VaR Model Review
Description
As part of the firms model risk management function, J.P. Morgans Model Review Group (MRG) is charged with performing model validation activities of complex Tier-1 & Tier- 2 Models. The review activity focusses on assessing the conceptual soundness of the model construct as well performing independent testing among other things.
You’ll make an impact by
- Performing independent model reviews of quantitative models used by Market Risk Group for VaR computation purposes
- Performing assessment of the conceptual soundness of model specification, the appropriateness of the methodology for its intended purpose, reasonableness of assumptions and reliability of inputs
- Conducting performance analysis and implementation testing. Identify and highlight limitation of methodologies, identify and quantify misunderstood or understated risks
- Assessing completeness of testing performed to support the correctness of the implementation
- Working with model developers and model users across the firm to understand methodology and usage
General requirements
- Quantitative background ideally with Master’s degree in Maths, Science, Finance, Engineering, Statistics, Quant Finance etc.
- Strong quantitative, analytical, and problem solving skills; knowledge of probability theory, calculus, statistics, mathematical finance, econometrics, numerical methods
- Knowledge of Market Risk/VaR Models
- Good programming skills would be a plus,
- Strong communication and interpersonal skills
- Strong project management and organizational 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 issues
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