Join JPMorgan Chase's Risk Management and Compliance team, where your expertise will be pivotal in maintaining our strength and resilience. You'll be tasked with anticipating emerging risks and using your judgement to address challenges impacting our company, customers, and communities. Our culture encourages innovative thinking and challenges the status quo, striving for excellence in all we do.

As a Risk Management - Macroeconomic Variable - Vice President within the Model Risk Governance & Review (MRGR) group, you will be at the forefront of maintaining JPMorgan Chase's strength and resilience. You will be responsible for conducting model validation to help identify, measure, and mitigate Model Risk. Your role will involve ensuring that models are used appropriately in the business context and that model users are aware of the models' strengths and limitations. You will also be working closely with Risk, Finance and line of business professionals to review findings, on-going model risk measurement and risk mitigating strategies. Your deep understanding of macroeconomic theory and econometric techniques will be crucial in overseeing a portfolio of models used in the design of macroeconomic scenarios that support firmwide processes such as stress testing and credit impairment estimation. 

Job Responsibilities

Evaluate conceptual soundness of model specification; reasonableness of assumptions; reliability of inputs; completeness of testing performed; correctness of implementation; and suitability / comprehensiveness of performance metrics and risk measures. Design and implement experiments to measure the potential impact of model limitations, parameter estimation errors or deviations from model assumptions; compare model outputs with empirical evidence and/or outputs from model benchmarks. Evaluate the risk posed specifically by non-transparent and non-linear models, and suggest ways to mitigate such risks.Maintain model risk control apparatus of the bank for the coverage area & serve as first point of contact.Liaise with front office, Finance and Risk professionals to monitor usage and performance of the models.Evaluate macroeconomic and market conditions under which a given model is likely to break down.Build benchmark models to understand and evaluate the model risks posed by forecasting models used by different lines of business.Conduct independent research to understand different model risks inherent to forecasting models and provide guidance to development teams.Cogently document findings.Train and lead junior team members.

 

Required qualifications, skills and capabilities

A Ph.D. or master’s degree in a quantitative field such as Economics, Finance, Statistics, Math, or Engineering. At least five years of experience on quantitative research, development or review of forecasting models. Deep understanding of econometrics, statistics, Macroeconomics and finance.Thorough knowledge of Python, R, or equivalent.Good oral and written communication skills.

Preferred qualifications, skills and capabilities

A Ph.D. in a quantitative field such as Economics, Finance, Statistics, Math, or Engineering.