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Job Description:

Vice President/ (Associate) MGG Counterparty Credit Risk Models Req # 190013660

Location Mumbai, MH, IN

Job Category Accounting/Finance/Audit/Risk

Corporate MGG Risk and Finance [more specifically MGG CCR (Counterparty Credit Risk) or MGG MR (Market Risk)]

JP Morgan is a leading global financial services firm, established over 200 years ago

We are the leader in investment banking, financial services for consumers and small businesses, commercial banking, financial transaction processing, and asset management

We have assets of $25 trillion and operations worldwide

We operate in more than 100 markets

We have more than 243,000 employees globally

Financial Institutions routinely use models for a broad range of activities including analyzing business strategies, informing business decisions, identifying and measuring risk, valuing exposures or instruments, hedging derivative positions, conducting stress testing, assessing capital adequacy, managing clients assets, informing investment process, measuring compliance with internal limits, maintaining the formal control apparatus of the bank, meeting financial or regulatory reporting requirements and issuing public disclosures Model Risk arises from the potential adverse consequences of making decisions based on incorrect or misused model outputs and reports, leading to financial loss, poor business decision making, or reputational damage

As part of the firms model risk management function, Model Governance Group (MGG) is charged with developing model risk policy and control procedures, performing model validation activities, providing guidance on a models 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 MGG 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

Core responsibilities

The successful candidate will be a member of the MGG Group covering the Risk areas such as Counterparty Credit Risk and/or Market Risk (may also include coverage of wholesale credit risk and other risk areas as the need arises), and will focus on the following activities

Engage in new model validation activities for a subset of models in the coverage area - 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

Perform additional model review activities ranging from proposed enhancements to existing models, extensions to scope of existing models, use of approximate bookings, to providing transaction-specific approvals

Liaise with Trading Desk, Risk and Finance professionals to provide oversight of and guidance on 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

Strong quantitative & analytical skills The role requires a strong quantitative background based on a PhD or Masters Degree (or equivalent) in a quantitative discipline such as Math, Science, Economics, Engineering, Quantitative/Math Finance, etc
Domain expertize in the relevant areas such as the following XVA (CVA, DVA, FVA, KVA), Counterparty Credit Risk Capital (CVA RWA/ Default RWA), Wholesale Credit Capital (Default RWA), TCP, SFA Securitization, Market Risk capital models including VaR Models, Derivatives pricing models, CCAR Models, Regulatory/Economic Capital Models, probability theory, econometrics, statistics, and numerical methods
Prior experience in following backgrounds (minimum experience is X Years depending on the level 3 years for VP and 1 year for Associate) Quantitative Model Development, Model Validation, Trading or Structuring, Market/Credit Risk Management
Strong communication skills and ability to interface with other functional areas in the bank on model-related issues
Risk and control mindset ability to ask incisive questions, converge on critical matters, assess materiality and escalate issues

Profile Summary:

Employment Type : Full Time
Eligibility : Any Graduate
Industry : Financial Services/Stockbroking
Functional Area : Banks/Insurance/Financial Services
Role : Risk/Credit/Economic Analyst
Salary : 300000-600000 P/A
Deadline : 30th Sep 2019

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