Quantitative Research WHOLESALE CREDIT RISK QR

JPMorgan Chase

Jersey City, NJ 07308

Posted 4 weeks ago

Job Description

What You Will Be Doing:


+ Participate mathematical modeling process to assess probability of default (PD), loss given default (LGD) and exposure at default (EAD) model performance;


+ Design efficient numerical algorithms and implementing high performance computing solutions;


+ Design and develop software frameworks for analytics and their delivery to systems and applications.


+ Support the business by explaining model behavior, identifying major sources of risk in portfolios, carrying out scenario analyses, developing and delivering quantitative tools, and researching for new ideas;


+ Assess the appropriateness of quantitative models and their limitations, identifying and monitoring the associated model risk;


+ Implement risk measurement, valuation models or algorithmic trading modules in software and systems;


Qualification:


+ PhD or MS in quantitative field: finance, econometrics, mathematics, physics, engineering.


+ 3-5 years of relevant experience (VP) or 1-2 years of relevant experience (associate). Fresh graduates would be considered as long as the candidate meets the requirements listed below.


Requirements:


+ Solid theoretical and practical knowledge of statistical methods and models: generalized linear models, time-series analysis, clustering, decision trees, logistic regression.


+ Experience in handling large amount of panel data, and data cleaning/filtering.


+ Hands on programming in Python and R.


+ Prior experience in wholesale credit is strongly preferred.


+ Prior experience in Basel and allowance modeling is strongly preferred.


+ Basic knowledge on credit risk modeling both at single-obligor/exposure level and portfolio level.


+ Previous experience in writing documents for regulatory reviews.


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.


The health and safety of our colleagues, candidates, clients and communities has been a top priority in light of the COVID-19 pandemic. JPMorgan Chase was awarded the "WELL Health-Safety Rating" for all of our 6,200 locations globally based on our operational policies, maintenance protocols, stakeholder engagement and emergency plans to address a post-COVID-19 environment.


As a part of our commitment to health and safety, we have implemented various COVID-related health and safety requirements for our workforce. Employees are expected to follow the Firm's current COVID-19 or other infectious disease health and safety requirements, including local requirements. Requirements include sharing information including your vaccine card in the firm's vaccine record tool, and may include mask wearing. Requirements may change in the future with the evolving public health landscape. JPMorgan Chase will consider accommodation requests as required by applicable law.


Equal Opportunity Employer/Disability/Veterans



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