Quant Modeling Lead [Multiple Positions Available]
DESCRIPTION:
Duties: Conduct model risk governance and review for quantitative and valuation models of mortgage-backed securitized products. Evaluate the conceptual soundness of the modeling framework, reasonableness of assumptions, reliability of inputs, completeness of testing, correctness of implementation, and the suitability and comprehensiveness of performance metrics and risk measures. Perform independent testing by replicating and/or building benchmark models. Design and implement tests to assess the potential impact of model limitations, parameter estimation errors, and deviations from model assumptions. Document model review and validation findings independently. Serve as the primary contact for model governance inquiries, helping to identify and escalate issues to ensure sound and timely resolutions. Provide guidance on appropriate model usage to developers, users, and other stakeholders. Monitor ongoing performance testing for models in the coverage area. Maintain and update the model inventory for the coverage area. Participate in model-related audits and regulatory examinations.
QUALIFICATIONS:
Minimum education and experience required: Master's degree in Financial Engineering, Applied Mathematics, Economics, Operations Research, Information Engineering or related field of study plus three (3) years of experience in the job offered or as Quant Modeling Lead, Model Risk Program Associate, Model Risk Management & Control, Analyst, or related occupation.
Skills Required: This position requires three (3) years of experience in the following: quantitative modeling or model validation and review for securitized products backed by residential mortgage loans. This position requires any amount of experience with the following: quantitative models for different types of prepayments (including refinancing, turnover, cash-out, and curtailment), credit transitions, defaults, and loss severity across various residential mortgage products including Fixed-Rate Mortgages, Hybrid Adjustable- Rate Mortgages, Option Adjustable-Rate Mortgages, Home Equity Loans, and Home Equity Lines of Credit; simulation-based risk sensitivity and portfolio analyses of valuation models, including pricing, duration analysis, convexity analysis, option-adjusted spread analysis, profit and loss attribution analysis, and hedging analysis, for different residential-mortgage-backed securities, such as pass-through securities and collateralized mortgage obligations; time series models for macroeconomic variables such as home price index and mortgage rates; ongoing performance monitoring methodologies for quantitative, valuation, and time series models, including monitoring metrics design, threshold determination, and performance backtesting; quantitative and time series modeling methods, including linear and non-linear multiple regressions, multiplicative logistic regression, autoregressive integrated moving average model, mean- reversion process, cointegration testing and error correction model, and panel data regression; Python or R programming languages to perform validation analysis, independent testing, and implementation testing, as well as developing benchmark models; document model review, validation findings and independent testing using Latex.
We offer a competitive total rewards package including base salary determined based on the role, experience, skill set, and location. For those in eligible roles, discretionary incentive compensation which may be awarded in recognition of individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more. Additional details about total compensation and benefits will be provided during the hiring process. In addition, please visit: https://careers.jpmorgan.com/us/en/about-us.
Job Location: 545 Washington Blvd, Jersey City, NJ 07310.
Full-Time. Salary: $167,000 - $215,000 per year.