Rates Model Risk Associate/VP

Location: Mumbai, Maharashtra, India

Job Family: Predictive Science

About the Role

At JP Morgan Chase, we are a leading global financial services firm with a strong commitment to innovation and risk management. The Rates Model Risk Associate/VP role within our Model Risk team in Mumbai offers an exciting opportunity for quantitative professionals to contribute to the validation and oversight of sophisticated models used in rates trading and fixed income. As part of the Corporate & Investment Bank (CIB), you will play a critical role in ensuring the robustness of models that support billions in daily transactions, helping to safeguard the firm's market-leading position in derivatives and interest rate products. This position is ideal for those passionate about predictive science and seeking a dynamic career in a collaborative, high-impact environment. In this role, you will perform independent validations of rates models, scrutinizing methodologies for pricing swaps, options, and other fixed income instruments. You will evaluate model risks, test assumptions under various market scenarios, and ensure alignment with regulatory requirements like those from the Federal Reserve and RBI. Collaborating closely with quants, traders, and compliance teams, you will provide actionable insights to enhance model accuracy and mitigate potential financial exposures. Your work will directly influence JP Morgan's risk appetite and strategic decisions in the volatile rates market. We value intellectual curiosity and technical excellence, offering a supportive culture with access to cutting-edge tools and ongoing training. Join us in Mumbai to advance your expertise in model risk while contributing to one of the world's most respected financial institutions. This role not only challenges your quantitative skills but also provides a pathway for growth into senior risk management positions at JP Morgan Chase.

Key Responsibilities

• Conduct independent validation of rates models used for pricing, hedging, and risk management across JP Morgan's global markets
• Assess model assumptions, limitations, and sensitivities to ensure compliance with internal and regulatory standards
• Perform quantitative analysis and stress testing on interest rate derivatives and fixed income portfolios
• Collaborate with model developers, traders, and risk managers to identify and mitigate model risks
• Develop and maintain documentation for model validations, including reports for senior management and regulators
• Monitor model performance and recommend enhancements in response to market changes or new regulations
• Support ad-hoc projects related to model risk governance and enterprise risk management at JP Morgan Chase
• Contribute to the firm's model risk framework by reviewing policies and procedures for rates-related models
• Engage in peer reviews and provide expert input on cross-asset model validations

Required Qualifications

• Master's or PhD in Quantitative Finance, Mathematics, Statistics, Physics, or a related field
• 3-5 years of experience in model development, validation, or risk management within financial services
• Strong understanding of rates derivatives, fixed income products, and market risk modeling
• Proficiency in statistical modeling and quantitative analysis techniques
• Experience with regulatory frameworks such as SR 11-7, Basel III, and CCAR for model risk management
• Ability to work in a fast-paced, collaborative environment in the financial industry

Preferred Qualifications

• Advanced knowledge of stochastic calculus and interest rate models (e.g., Hull-White, LIBOR Market Model)
• Prior experience at a major investment bank like JP Morgan Chase in rates trading or risk teams
• Familiarity with machine learning applications in financial modeling
• CFA, FRM, or CQF certification

Required Skills

• Quantitative modeling and statistical analysis
• Proficiency in Python, R, or MATLAB for financial computations
• Knowledge of SQL for data querying and analysis
• Understanding of Monte Carlo simulations and numerical methods
• Expertise in interest rate risk metrics (e.g., DV01, PV01)
• Strong analytical and problem-solving abilities
• Excellent communication skills for technical reporting
• Attention to detail in model validation processes
• Team collaboration and stakeholder management
• Regulatory compliance awareness in finance
• Time management in high-pressure environments
• Data visualization using tools like Tableau or Excel
• Risk assessment and scenario analysis
• Adaptability to evolving market conditions

Benefits

• Competitive base salary and performance-based bonus structure
• Comprehensive health, dental, and vision insurance coverage
• Retirement savings plan with generous company matching contributions
• Paid time off, including vacation, sick leave, and parental leave
• Professional development opportunities, including tuition reimbursement and access to JP Morgan's learning platforms
• Employee wellness programs, including gym memberships and mental health support
• Stock purchase plan and employee stock ownership options
• Relocation assistance for eligible roles in Mumbai

JP Morgan Chase is an equal opportunity employer.