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CIB QR- Quantitative Research - Wholesale Credit Capital Modeling - Quantitative Developer (Implementation) - Associate/VP

Req #: 170122232
Location: Jersey City, NJ, US
Job Category: Accounting/Finance/Audit/Risk
Potential Referral Amount: 5000 US Dollar (USD)

LI Post

 

 

J.P. Morgan is a leader in financial services, offering innovative and intelligent solutions to clients in more than 100 countries with one of the most comprehensive global product platforms available. We have been helping our clients to do business and manage their wealth for more than 200 years and we keep their interests foremost in our minds at all times. This combination of product strength, intellectual capital and character sets us apart as an industry leader. J.P. Morgan is part of J.P. Morgan Chase & Co. (NYSE: JPM), a global financial services firm with assets of $2.0 trillion.

 

Job Summary:

 

The successful candidate will be a key member of the Core Analytics Implementation and Execution team within Wholesale Credit Quantitative Research. The team focuses on the design, implementation, delivery and support of models for the firms Wholesale Credit Stress (CCAR, ICAAP, Risk Appetite) and Loan loss reserves models. The successful candidate will implement and evolve state of the art risk valuation models in Wholesale Credit; explain the forecasted results to the lines of business and resolve issues based on business feedback; communicate model related information such as risk, performance and results to senior management and business partners; participate in enhancing and developing our strategy modelling frameworks for the next generation of Wholesale Credit forecasting, valuation and econometric models. This will require the candidate to work with other more experienced Wholesale Credit model developers and business partners and enhance his/her quantitative as well as business skills.

 

  • The successful candidate will work on the design and implementation state of the art forecast and valuation models in Wholesale Credit. She/He will be responsible for advancing the methodology as well as the underlying model frameworks and implementation in libraries.
  • Explain the results to the lines of business and resolve issues based on business feedback in a timely fashion. He / She will communicate model related information such as risk, performance and results to senior management and business partners.

This position will require the candidate to work with other experienced modelers and business partners to enhance quantitative as well as business skills.

 
Essential skills, experience, and qualifications:
  • Ph.D or MS in a numerate subject (e.g. Applied Math, Physics, Computational Biology, Engineering, Math Finance, etc)
  • Strong quantitative problem solving skills and experience with application of numerical techniques to modelling
  • Excellent quantitative programming skills in Python; C++ a plus
  • Focus on functional and numerical testing through entire model development software cycle
  • Must be self-motivated, pro-active, responsible and driven to deliver
 
Desirable skills, experience, and qualifications (optional):
  • Experience implementing, integrating and deploying financial models end-to-end
  • Experience with Monte-Carlo, Quantitative finance
  • Experience with Credit Risk modeling in either Wholesale or Retail (PD/LGD/EAD)
  • Knowledge of Wholesale Credit CCAR, Allowance methodology (IFRS 9/CECL), Basel II and III regulatory capital
  • Proven ability to develop collaborative relationships with key internal partners to achieve objectives and prioritizations
  • Proficient working in a Linux/UNIX environment

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