CORP|Risk|Generic|Global|JPMC

Job Description

Financial Institutions routinely use models for a broad range of activities including credit underwriting, valuing financial instruments, 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 and non-model reviews and provides guidance around model and non-model's appropriate usage.

The MRGR team oversees the risk posed by models in the fields of Machine Learning (ML), Statistics / Econometrics and Anti-Money Laundering (AML). We are data scientists, statisticians, risk managers, and early adopters of technology tasked with mitigating model risk. We also provide guidance around appropriate development of such models.

Position Overview

The primary role of the Associate is to (i) constructively challenge and improve wide variety of statistical/econometric, ML and AML models across different lines of business, allowing you to learn in a real-world environment and ii) quantitatively evaluate complex models using advanced statistical / ML techniques to assess model risks. A significant portion of the successful candidate's time is likely to be spent reviewing statistical / econometric and AML models. The statistical models are utilized in forecasting of the bank's deposits, revenues, and fees in BAU and stress scenarios. AML models cover Anti Money Laundering, Trade Surveillance, Sanctions Screening, Know Your Customer (KYC), Client Due Diligence (CDD), and other forms of financial crimes monitoring. This is a fast-developing space with applications of many Machine Learning techniques including NLP and Classification. The role requires significant interaction with other groups, as well as document writing for internal and external stakeholders.

Core Responsibilities:
• Work with the Review Lead to independently review and challenge key estimation methodologies and analytics/tools used in firm-wide AML methodologies and other related processes (e.g. capital stress testing, risk management & budgeting)
• Model reviews: 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.
• Model risk measurement: 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.
• Evaluate the risk posed specifically by non-transparent and non-linear models and suggest ways to mitigate such risks.
• Liaise with front office, Finance and Risk professionals to monitor usage and performance of the models.
• Evaluate market conditions under which a given model is likely to break down.
• Identify model risks most relevant to the bank's various lines of business.
• Draft assessment reports, summarizing the independent assessment of the methodologies, which are distributed to senior management and to regulators.
• Draft, syndicate and finalize issues with Review Lead.
• Work with model managers to manage accuracy of Model inventory, ongoing model performance monitoring, model change control, and participate in 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.