JPMorgan Chase Corporate - Model Risk Governance & Review – VP in Jersey City, New Jersey

Risk Management, under the direction of the Firm’s CRO, provides a Firmwide independent function for the management of risk. This function provides oversight of the risks inherent in the Firm’s businesses. Each line of business is responsible for decisions relating to risk strategy, policy, measurement and control within its respective business.

The Model Risk Governance and Review (MRGR) provides oversight of the firmwide Model Risk policy, guidance with respect to a model’s appropriate usage, and conducts independent reviews of models.

MRGR is composed of three distinct units:

  • Model Governance is responsible for day-to-day management of model risk, such as ensuring that models are governed by the appropriate policies and procedures, that they are subject to performance review, and that their use includes appropriate operating controls (e.g. access, change control).

  • Model Review Group (MRG) serves as an independent model validation function that reviews and approves a wide range of models, including risk management, valuation, and certain regulatory capital models used by the firm.

  • The Chief Operating Officer office is tasked with coordination, planning, and execution of regulatory, control, audit, and corporate risk initiatives and deliverables.

Position Description

The is an opportunity within in Model Review Group (MRG). In particular, the group reviews economic and regulatory capital models, analyses complex model risk, and assesses appropriateness of risk measurement and reserve methodologies in major lines of business (Commercial Bank, Treasury Services, Asset Management, Corporate Treasury, Chief Investment Officer etc.). Team members have opportunities for exposure to a variety of business areas and research projects.

Core responsibilities:

  • Conduct reviews of models used in connection with pricing, loss forecasting, and capital calculation for wholesale products

  • 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.

  • Design and implement experiments to measure the potential impact of model limitations, parameter estimation error or deviations from model assumptions; compare model outputs with empirical evidence and/or outputs from model benchmarks.

  • Liaise with front office, Finance and Risk professionals to monitor usage and performance of the models and syndicate the findings of model validation.

Qualifications:

  • Advanced degree in Economics, Statistics, Physics, Sciences, Engineering or similar

  • Two years or more of applied modeling, quantitative research and data analysis.

  • Deep understanding of probability theory and statistics

  • Programming experience in C/C++, Python or similar preferred, experience with statistical software (e.g. SAS, R) is desirable

  • Excellent written and oral communication skills

  • Excellent analytical and problem solving abilities.

  • Experience with model validation/review desirable but not mandatory

JPMorgan Chase is an equal opportunity and affirmative action employer Disability/Veteran.