CORP_Risk_Generic_Global_JPMC

Job Description

MGG Wholesale Credit Risk - Analyst Financial Institutions routinely use models for a broad range of activities including analyzing business strategies, informing business decisions, identifying and measuring risks, 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 firm s 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 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 MGG provide attractive career paths for model development and model validation quants in a dynamic setting working closely with Model Developers, Business, 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 Wholesale Credit Risk (including both traditional credit products and securitization products) models, Macroeconomic Variable Forecasting models, and other BAU models used by Commercial Banking LOB, 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 Risk and Finance professionals to provide oversight of and guidance on appropriate usage, controls around model restrictions & limitations, and findings for ongoing performance assessment and testing Maintain model risk control apparatus of the bank for the coverage area, and 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 standardsQualifications: Strong quantitative & analytical skills: The role requires a strong quantitative background based on a Master or PhD Degree (or equivalent) in a quantitative discipline such as Math, Science, Economics, Engineering, Quantitative/Math Finance, etc. Domain expertize in following areas would be preferred: Regulatory Capital modeling in Wholesale / Retail / Securitization space using Basel Advance IRB approach (PD, LGD, EAD, etc.), Stress Testing Models (CCAR, ICAAP, etc.), ALLL (CECL/IFRS9) Models, Econometrics and Machine Learning methods Prior experience in following backgrounds would be preferred: Quantitative Model Development, Model Validation, 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,

Keyskills :
business decision makingstrong communication skillscredit riskrisk controlmusic makingstress testingrisk managementmachine learningmodel validationcapital adequacymodel development