Société : JPMorgan Chase & Co. Lieu : Paris (Île-de-France)
Descriptif du poste
Société : JPMorgan Chase & Co. Catégorie : Stage Filiere : Finance d'entreprise compta / gestion Lieu : Paris (Île-de-France)
Mission
We are looking for a new member to join our Interest Rates team in the Model Risk Governance and Review Group which is responsible for end-to-end model risk management across the firm.
As a Quant Model Risk Associate in Model Risk Governance team, you will assess and help 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. Additionally, you will have an opportunity for exposure to a variety of business and functional area as well as will work closely with model developers and users.
Job 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
Provide guidance on model usage and act as first point of contact for the business on all new models and changes to existing models
Develop and implement alternative model benchmarks and compare the outcome of various models; Design model performance metrics
Liaise with model developers, Risk and Valuation Control Groups and provide guidance on model risk
Evaluate model performance on a regular basis
Required qualifications, capabilities, and skills
Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis
MSc, PhD or equivalent in a quantitative discipline
Inquisitive nature, ability to ask right questions and escalate issues
Excellent communication skills (written and verbal)
Good understanding of option pricing theory (. quantitative models for pricing and hedging derivatives)
Good coding skills, for example in C/C++ or Python
Preferred qualifications, capabilities, and skills
Experience with interest rates derivatives
Experience in a FO or model risk quantitative role.
