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Model Risk Governance and Review - OPM - Associate

3.00 to 5.00 Years   Mumbai City   23 Jun, 2021
Job LocationMumbai City
EducationNot Mentioned
SalaryNot Disclosed
IndustryBanking / Financial Services
Functional AreaRisk / Underwriting,Sales / BD
EmploymentTypeFull-time

Job Description

J.P. Morgan s Model Risk Governance and Review (MRGR) in Mumbai was set up in 2016 as an extension of the Firm s global MRGR teams around the world. The MRGR Mumbai team works in sync with the New York and London teams on assessing performance of quantitative models used throughout the firm, including pricing models, risk models, and empirical forecasting models used in major lines of business, including Corporate Investment Bank, Consumer Banking, and Corporate Risk.This position is a part of the Ongoing Performance Monitoring (OPM) team within MRGR Mumbai. The MRGR OPM Analytics is responsible for development and support of methodologies used to evaluate models performance across the firm. The new Analyst will work in the OPM Mumbai team as a Quantitative Analyst developing new testing methodologies and enhancing existing model performance monitoring processes.Primary Responsibilities:

  • Heavy-duty empirical data analysis to evaluate models performance.
  • Design and implement Python-based scripts within the firm s proprietary framework (Athena) to facilitate model performance investigations and associated data analysis.
  • Fine-tuning of model analysis frameworks to new models and market conditions.
Essential Skills:
  • Quantitative Skills: Good knowledge in probability theory, statistics, differential equations and numerical analysis.
  • Programming: Ability to code in high-level languages such as Python or C++.
  • Communication: Excellent written and verbal communication skills as the frequent sync-ups with the New York and London teams would be required.
Desired Skills:
  • Finance: Basic knowledge of derivatives pricing and econometrics.
  • Mathematical Finance: Stochastic calculus, Numerical algorithms, and Time-series analysis.
Ideal candidates for these positions would be a graduate/post-graduate from a premier college or institute with 3+ years of experience. A computer science or mathematics background would be most suitable. J.P. Morgan s Model Risk Governance and Review (MRGR) provides a challenging work environment and excellent opportunities to learn and grow both within MRGR and in the Firm s global network.,

Keyskills :
risk modelsdata analysisrisk governanceconsumer bankingstochastic calculusquantitative modelsquantitative analysisperformance monitoringdifferential equationsquantitative managementopmriskpython

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