model risk governance and review fx/commodity derivatives quantitative analyst analyst /associate

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. The group assesses and helps 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. Derivative instruments are widely used in the Bank's businesses as part of the core trading activities or for risk management purposes. Derivative instruments make extensive use of models subject to validation by MRGR. Model validation includes an evaluation of conceptual soundness; designing and conducting experiments to compare a model's prediction against actual outcomes or against the output of alternative benchmark models; and designing and monitoring model performance metrics. MRGR partners with Risk and Finance professionals and works closely with model developers and users. Team members have opportunities for exposure to a variety of business areas. As part of the firm's model risk management function, MRGR is also charged 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 model development and model validation quants 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 The role currently available lies within MRGR Paris and will have a focus on the review of FX and Commodity derivatives models and model risk governance. CORE 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. * 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 ESSENTIAL SKILLS, EXPERIENCE AND QUALIFICATIONS * 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. * DESIRABLE SKILLS, EXPERIENCE AND QUALIFICATIONS * Trading desk support, model validation, or model design experience. * Experience with Monte Carlo and numerical methods. * Experience with FX and/or Commodity derivatives 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.