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CIB - Credit Portfolio Group QR - VP - New York, NY

Job Description

JPMorgan Chase & Co. (NYSE: JPM) is a leading global financial services firm with assets of $2.4 trillion and operations worldwide. The Firm is a leader in investment banking, financial services for consumers and small businesses, commercial banking, financial transaction processing, asset management and private equity. A component of the Dow Jones Industrial Average, JPMorgan Chase & Co. serves millions of consumers in the United States and many of the world’s most prominent corporate, institutional and government clients under its J.P. Morgan and Chase brands.

The Model Risk and Development Group for Counterparty Risk (MRaD- CPG) is responsible for developing and supporting models to quantify and risk manage counterparty and funding risks in the investment bank. This group is also responsible for margin modeling as well as credit risk capital calculation.

Core responsibilities:

·       Design and implement state of the art simulation models for counterparty risk calculation

·       Produce best in class model documentation and testing notes

·       Support dedicated trading team and risk organization in pricing and management of counterparty and funding risks

·       Support credit risk capital team in calculation and verification of counterparty risk capitals

·       Work closely with LOB quantitative research teams to develop derivative pricing models

·       Liaise with technology for end-to-end deployment and testing of new models

·       Excellent analytical and problem solving abilities

·       Strong communication skills (both written and verbal)

·       Understanding of probability theory, stochastic processes, numerical methods

·       C/C++ programming experience

·       PhD or MS degree in Math, Finance, Physics, Computer Science, Engineering or similar

·       Python coding experience a plus

·       Machine learning and ability to work with data a plus

Req #: 160039827
Location: New York, NY US
Job Category: Accounting/Finance/Audit/Risk
Employment Type: Full Time
Potential Referral Amount: US Dollar (USD)

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