Apply Now    

CIB Risk - Quantitative Research Model Development and Capital Analysis - Associate

Req #: 170109792
Location: New York, NY, US
Job Category: Accounting/Finance/Audit/Risk
Potential Referral Amount: 3000 US Dollar (USD)
Job Description
 
Model Development and Capital Analysis Team of Quantitative Research (QR) Group seeks a strong junior quant/analyst to conduct research on wholesale credit risk and to develop models used for regulatory reporting and accounting for Basel and beyond. The candidate will be responsible for validating data and portfolio information, developing and implementing quantitative models, facilitating/customizing model inputs and outputs, analyzing/reporting model results, writing documentation. Candidates should possess excellent quantitative/analytic skills and a broad knowledge of probability, statistics, applied mathematics, numerical recipes and programming. Basic knowledge of financial markets and products is a plus.
 
Core Responsibilities:
 
  • Participate in support and further development of internal probability of default (PD) and rating migration models.
  • Analyze and understand wholesale loan historical portfolio data, including: definition of default and default frequencies, obligor ratings and rating migration, exposure quantities, loss given default.
  • Provide support of Basel and CCAR PD modeling efforts.  
  • Build risk analytics tools to monitor model performance and risk measures.
  • Work on allowance for loan and lease losses (ALLL) calculations and reporting, and participate in ALLL model development and implementation.
Qualifications:
 
  • Strong knowledge of probability, statistics and applied math.
  • Experience with programming in scripting languages (Python, R, Matlab) or C/ C++. Knowledge of Excel and VBA is a plus.
  • Knowledge of standard numerical methods and algorithms.
  • Undergraduate or graduate degree (preferable) and experience in mathematics or physical sciences or computer science or a quantitative discipline (e.g. engineering, computing, statistics), or financial economics with quantitative background.  
     
Skills & Experience:
 
  • Strong quantitative / analytical skills.
  • Strong organizational / project management skills with the ability to handle multiple initiatives/ work streams simultaneously.
  • The ability and motivation to take initiative and solve problems independently.
  • Experience in wholesale credit risk is a plus.
  • Excellent communication skills (oral and written).
  • Proven ability to develop collaborative relationships with key internal partners to achieve objectives.
Apply Now    

Join our Talent Community

Not ready to apply? Leave your information with us and we will keep you up to date with new career opportunities.

Things to note

Sign in to our application system to continue your job search or update your profile.

Current employees sign in here. Contractors sign in here.

Any information you provide is confidential and will only be viewed by our recruiters in an effort to fill open positions. In addition, the information you provide is subject to our privacy policy practices.

Please note that J.P. Morgan will not accept unsolicited approaches or speculative CVs, nor will J.P. Morgan be responsible for any related fees, from Third Party Firms who are not preferred suppliers.

The firm invites all interested and qualified candidates to apply for employment opportunities.

Need disability related assistance?

If you are a US or Canadian applicant with a disability who is unable to use our online tools to search and apply for jobs, please click here.

Important links

Click here to view the "EEO is the Law" poster.

Click here to view the "EEO is the Law" supplemental poster.

Click here to view our U.S. Pay Transparency Policy.

JPMorgan Chase is an equal opportunity and affirmative action employer Disability/Veteran.