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CIB - QR Wholesale Capital Modelling - 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. 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.

                      


Statistics:

 

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

 

Programming:

 

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

 

Education:

Requirement: PhD in heavy quantitative field: finance, econometrics, mathematics, physics, engineering.

 

Finance:

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.

 

Req #: 160035698
Location: New York, NY US
Job Category: Accounting/Finance/Audit/Risk
Employment Type: Full Time
Potential Referral Amount: 0 US Dollar (USD)

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