Model Risk Governance and Review (MRGR) is a global team of modelling experts within the firms Risk Management and Compliance organization. The team is responsible for conducting independent model reviews and governance activities to identify, measure, and mitigate model risk across the firm. Within MRGR, the MRGR Credit Portfolio Group (CPG) Derivatives team manages the model risks associated with XVA and Counterparty Credit Risk (CCR) capital models for JPMorgans extensive derivatives portfolios.
This role offers a unique opportunity to gain exposure to a cross-asset framework that spans multiple lines of business and associated models. It encompasses a broad range of usages including valuation, capital, and credit risk management, and operates in a relatively nascent area marked by ongoing model development and enhancement.
As a Model Risk Quant Analyst / Associate in Model Risk Governance and Review team, you will conduct comprehensive model review and governance activities across a diverse array of models. These include risk factor simulation engines, correlation and relatedness models, exposure aggregation and end-use models, such as CVA and FVA (Credit and Funding Valuation Adjustments) as well as CCR Regulatory Exposure. Additionally, you will contribute to the expansion of our benchmarking library and the development of related tools, thus bolstering the model validation teams capacity to independently test models used in the XVA/CCR space.
