An Interview with a Risk Manager

Tell us about your current role?

I work as a Quant Modeling Lead (VP) at JPMorgan Chase Bank, in their Model Risk Governance and Review team, which is the second line of defense for model risk. I am a part of the Market Risk subdivision of this team, which is responsible for the independent review and maintenance of models used for calculating regulatory market risk capital requirements and for internal risk management, such as Value at Risk (VaR), stressed VaR (SVaR), Expected Shortfall (ES) and Risks Not in VaR (RNiV) models.
 

Where did you start your career and how did you progress? 

I started my career at NatWest Markets in India, in a similar Market Risk Methodology department, first as an intern and then as a full-time professional. The role helped me understand the nuances of market risk modeling and the various tests to analyze the performance of a market risk model. I then moved to Bank of America to work in the second line of defense, where I obtained my initial exposure to model validation. After 2 years, I then moved to London to work in my current role at JPMorgan, which was inspired by an off-site to London that I was offered during my stint at NatWest Markets. I believe all these experiences have played a key role in my career and in shaping the professional I am today. Additionally, I kept applying for certifications and examinations related to my work which helped me hone my skills.
 

What are some of the highlights and challenges in your field?

The highlight of working in such esteemed organizations is the exposure they offer for someone fresh out of college. I have met and worked with some highly talented individuals with a plethora of work experience. I have been lucky to encounter people who were approachable and enthusiastic about sharing their knowledge. A challenge can be adapting to a new institute’s infrastructure, governance procedures, and model repository when you move roles, as they could be quite different within banks. However, given the internal training and resources most of these banks have to offer, it does not last long.
 

Could you describe what a typical working day looks like for you?

I could be at any stage of the review process, which may involve assessing the model documentation submitted by the developers, performing our independent tests, or writing up our assessment of the submission and test conclusions, which usually result in raising some issues for the developers to resolve. The model developers are frequently contacted for questions that may come up during the review, and to discuss the outcomes. We could also be involved in various ad-hoc tasks to maintain and improve the models.
 

What are the most important skills for professionals in your field to have? 

This role requires you to have a good grasp of probability and statistics, mathematics, and finance, in addition to a decent coding proficiency. Communication skills are highly valuable, as documentation is a key component of the review process, and understanding of regulatory concepts is a plus. If you are new to this industry, there are various books and certifications which can give you an insight into risk and quant finance.
 

You earned the Certificate in Quantitative Finance (CQF). Why did you decide to enroll and where has the CQF added value to your career?

I enrolled in the CQF after my first job change. I wanted to get a better understanding of quant finance concepts, and had heard positive things about this certification, such as the lifelong learning element and networking opportunities. It was 2020 and we were working remotely, which also meant I had more time on my hands to balance work and study. The certification has given me valuable insights into stochastic calculus, portfolio and VaR modeling, and derivatives pricing, which have augmented my on-job learning and advanced my career in this industry.
 

Do you think the industry has changed since you started, and how do you see it changing in the next few years?

Absolutely. A lot of focus is being placed on AI and automation. Being acquainted with and adapting to these skills is vital to advance in one’s career. However, regulatory expectations have also levelled up, and additional guidelines are being enforced on models which use these techniques, so it is imperative to understand both.
 

What would your advice be to someone starting a career in your field today?

My advice would be to learn as much as you can from any available resource, stay curious, and build both your quant skills and communication and regulation skills. Practice coding, possibly through guided or unguided projects, and dive into machine learning. Most importantly, don’t be afraid to start small and learn on the job. Every model you validate, every error you debug, and every report you write-up and get feedback on will build your proficiency in this field and shape you into a sought-after risk management professional.