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. www.jpmorganchase.com.
For its model development Group within the Risk organization, JPMC is looking for a midlevel capital modeler to tackle the regulatory oriented PPNR modeling (CCAR) for wholesale exposures.
The tasks include probability of default, spreads/net income and stress-testing models. Applicant should combine the skill set below.
Application not meeting the statistics and programming requirements will not be considered.
Requirement: Solid theoretical and practical knowledge of probability methods and models: generalized linear models, estimators, time-series analysis, panel data, and data cleaning and filtering.
Econometrics background, experience with econometric models, macro and balance sheet data.
Data mining background and experience (clustering, decision trees, logistic regression…)
Familiarity with credit risk terms and basic models
Requirement: Hands on programming in one or more of the following: R, Python , C/C++
Good to have: Experience in dealing with all aspects of analyzing sizable data, SQL, exposure to database architecture , fluency with queries
Requirement: PhD in heavy quantitative field: finance, econometrics, mathematics, physics, engineering.
Requirement: hands on credit risk modeling either wholesale or retail
Basel II and III regulatory capital framework (credit RWA-SFA/SSFA) /CCAR
Good to have: Common structured products (ABS, CDO)
Knowledge of capital markets,
Exposure to both loss and income modeling (US/EU)
Knowledge of financial terms and industry models for pricing/risk assessment.
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.
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