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Vice President / (Associate)– MGG Counterparty Credit Risk Models

Mumbai, India | J.P. Morgan

  • Industry:
    Financial Services
  • Position Type:
    Full-Time
  • Functions:
    Financial Services Professional
    Risk Management
  • Experience:
    3-5 years
Job Description:
53 people have viewed this job

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


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