• Vice President MGG Market Risk Models Jobs in Mumbai City

  • JPMorgan
  • Mumbai City

Job Description:

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 Quantitative Model Development, Model Validation, Trading



  • 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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Profile Summary:

Employment Type : Full Time
Industry : Manufacturing
Salary : Not Disclosed
Deadline : 20th Feb 2020

Key Skills:

Company Profile:

JPMorgan
JP Morgan Chase & Co is an American multinational investment bank and financial services company headquartered in New York City JPMorgan Chase is the largest bank in the United States, and is ranked by S&P Global as the sixth largest bank in the world by total assets as of 2018, to the amount of $2534 trillion

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