Model Risk Governance And Review (MRGR) - Treasury/CIO - Vice President

Employer Description

JPMorgan Chase & Co., one of the oldest financial institutions, offers innovative financial solutions to millions of consumers, small businesses, and many of the world's most prominent corporate, institutional and government clients under the J.P. Morgan and Chase brands. Our history spans over 200 years and today we are a leader in investment banking, consumer and small business banking, commercial banking, financial transaction processing and asset management.

We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. In accordance with applicable law, we make reasonable accommodations for applicants' and employees' religious practices and beliefs, as well as any mental health or physical disability needs.

Job Summary

Financial Institutions routinely use models for a broad range of activities including credit underwriting, valuing financial instruments, identifying suitable investments, measuring, and managing risk assessing the adequacy of reserves and capital resources, and many other applications. 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. The Model Risk Governance and Review Group ("MRGR") oversees model risk at J.P. Morgan, conducts independent model reviews and provides guidance around model's appropriate usage.

Additionally, as part of the MRGR Treasury and Chief Investment Office (CIO) team, the models under review would consider estimations for the following activities:

• Deployment of the firm's excess liquidity


• Management of the firm's funding and liabilities


• Management of the firm's structural interest rate and foreign exchange risk


• Management of the firm's liquidity risk and regulatory compliance


• Pro-forma financial results across material entities, primarily in the context of the Firm's Resolution and Recovery process.
  

Position Overview

The primary role of the Vice President is to (i) constructively challenge in order to assist developers in improving existing forecasting methodologies used in CIO, Treasury including Deposits and Interest Rate Risk models (ii) review implementation accuracy and soundness of financial calculations. The Vice President will be responsible for model reviews and governance activities. Ability to lead teams and encourage team members to think critically, to communicate effectively (both spoken and written) and to be a subject matter expert in a particular domain, is critical to this role.

The team partners with the Corporate Treasury, Corporate Capital Stress Testing, risk management functions, Regulatory Policy, Financial Reporting, Economic Scenarios, Quantitative Research, other MRGR teams and various other Finance and Risk teams on various firm-wide initiatives.

Core Responsibilities Model Review

• Lead a review team and take ownership of end-to-end review deliverables as a review lead, while partnering with the review principal, which include:
  
  
  
  • Manage direct staff and other members of review team to support career development and provide mentorship
  
  
  • Partner with senior management on team-wide efforts that enhance the ability to effectively complete reviews as well as the overall work environment
  
  
  • Develop and maintain relationships with stakeholders across different business and risk functions, including senior management
  
  
  
  



• Lead review team to:
  
  
  
  • Independently review and challenge key estimation methodologies and analytics/tools for firm-wide capital stress testing, risk management, budgeting, and related processes
  
  
  • 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.
  
  
  • Design and implement experiments to measure the potential impact of model limitations, parameter estimation error or deviations from model assumptions; compare model outputs with empirical evidence and/or outputs from model benchmarks.
  
  
  • Review assessment reports, summarizing the independent assessment of the methodologies, which are distributed to senior management and to regulators
  
  
  • Review and finalize the issues along and determine the issue criticality in a reasonable manner
  
  
  
  


• Have a strong understanding of financial products and their application in forecasting


• Stay abreast of macroeconomic, regulatory and industry landscape and bring this to bear in benchmarking analysis


• Lead various process enhancement initiatives for innovations/automation.

Model Governance

• Ensure reviewers perform the following activities accurately:
  
  
  
  • Determine the Model inventory
  
  
  • Monitor the ongoing model performance
  
  
  • Track model change control process
  
  
  
  


• Ability to handle discussions with senior management on model risk.


• Liaise with stakeholders including model developers and users to monitor usage and performance of the models and syndicate findings of governance topics.

The role and responsibilities of the successful candidate will be determined based on qualifications, prior experience and demonstrated skills.

Qualifications

• Strong quantitative & analytical background based on a PhD or post graduate degree (Masters or equivalent) in a quantitative discipline such as Math, Science, Economics, Engineering, Mathematical Finance, etc.


• 8+ years of experience in financial services, ideally in model development, validation, or use


• Knowledge of financial products / markets and regulatory requirements


• Experience in Treasury and Liquidity risk is preferable


• Strong communication skills and ability to effectively deliver messages to other functional areas in the firm on model risk related issues


• Excellent writing skills


• Extreme attention to detail


• Self-starter who can perform effectively in a fast paced, results-driven environment.


• Control mindset (ability to identify control gaps and/or issues)


• Ability to handle a team and act in the capacity of a mentor to team members


• Hands-on programming experience with at least one of the programming language such as Python, R, MATLAB, C/C++ etc.

Additional qualifications/experience considerations

• CFA, FRM and related certification


• Knowledge of regulatory guidelines (SR 15-18, SR 11-7)


• Experience in risk management function preferred

JPMorgan Chase & Co., one of the oldest financial institutions, offers innovative financial solutions to millions of consumers, small businesses and many of the world's most prominent corporate, institutional and government clients under the J.P. Morgan and Chase brands. Our history spans over 200 years and today we are a leader in investment banking, consumer and small business banking, commercial banking, financial transaction processing and asset management.

We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. In accordance with applicable law, we make reasonable accommodations for applicants' and employees' religious practices and beliefs, as well as any mental health or physical disability needs.