Quant Modeling - Associate/Vice President
- Bajaj Finance
- 3 to 7 Yrs
- Maharashtra
- 1 month ago
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Job Description
- Job Description Are you looking for an exciting opportunity to join a dynamic and growing team in a fast paced and challenging area As a Quant Modelling Associate in our Risk Management and Compliance team, you'll play a pivotal role in maintaining JPMorgan Chase's strength and resilience. You'll anticipate emerging risks and use your expertise to tackle challenges affecting our company, customers, and communities. You'll be part of the Model Risk Governance and Review (MRGR) team, responsible for independent model review and governance activities to manage Model Risk. MRGR Trading focuses on valuation and risk-management models used within the Corporate & Investment Bank, particularly on Derivatives Instruments, involving complex and advanced modeling techniques. Job responsibilities: Model Review Evaluate conceptual soundness of model specifications, reasonableness of assumptions, reliability of inputs, completeness of testing, correctness of implementation, and suitability and comprehensiveness of performance metrics and risk measures Perform independent testing of models by replicating or building benchmark models Design and implement experiments to measure the potential impact of model limitations, parameter estimation errors, and deviations from model assumptions; compare model outputs with empirical evidence or outputs from model benchmarks Document the model review findings and communicate them to stakeholders Model Governance Serve as the first point of contact for model governance related inquiries for the coverage area, and help identify and escalate issues to ensure that their resolutions are sound and timely Provide guidance on the appropriate usage of models to model developers, users, and other stakeholders in the firm Stay abreast of the ongoing performance testing outcomes for models used in the coverage area, and communicate those outcomes to stakeholders Maintain the model inventory and model metadata for the coverage area Keep up with the latest developments in coverage area in terms of products, markets, models, risk management practices, and industry standards Required qualifications, capabilities and skills: PhD or Masters degree in a quantitative discipline such as Math, Physics, Engineering, Computer Science, Economics or Finance Excellence in probability theory, stochastic processes, statistical/economic modeling, partial differential equations, and numerical analysis. Understanding of options and derivative pricing theory and risks Proficient in Python, R, Matlab, C++, or other programming languages Risk and control mindset: ability to ask incisive questions, assess materiality of model issues, and escalate issues appropriately Strong communication skills with the ability to interface with front office traders, and other functional areas in the firm on model-related issues; and produce documents for internal and external (regulatory) consumption Strong analytical and problem-solving abilities,
Employement Category:
Employement Type: Full timeIndustry: BFSIRole Category: Not SpecifiedFunctional Area: Not SpecifiedRole/Responsibilies: Quant Modeling - Associate/Vice PresidentContact Details:
Company: Alumni Career SiteLocation(s): Maharashtra+ View Contact
Keyskills: Python R Matlab C Stochastic Processes Statistical Modeling Economic Modeling Partial Differential Equations Numerical Analysis Risk Management
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