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CIB QR- Quantitative Research - Wholesale Credit Capital Modeling - Quantitative Developer - As[...]

Company: JPMorgan Chase & Co.
Location: Plano
Posted on: September 12, 2020

Job Description:

CIB QR- Quantitative Research - Wholesale Credit Capital Modeling - Quantitative Developer - Associate CIB QR- Quantitative Research - Wholesale Credit Capital Modeling - Quantitative Developer - Associate

Plano, TX, United States

Full time

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 (CECL, IFRS9) models. The 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.

Core Responsibilities:

* Work on the design and implementation state of the art forecast and valuation models in Wholesale Credit. Work closely with the modelling team and the business to gather and understand requirements for this. Contribute to the development of wrapper models. Will be responsible for advancing the methodology as well as the underlying model frameworks and implementation in the teams Python analytics library.

* Explain the results to the lines of business and resolve issues based on business feedback in a timely fashion. Communicate model related information such as risk, performance and results to senior management and business partners. Document implementation, testing and results explanations.

* This position will require the candidate to work with other experienced modellers, business and technology partners to achieve business goals and deliverables.

Essential Skills:

* 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. Ability to understand quantitative finance model specifications and translate into practical solutions and software implementation.

* 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

Desired Skills:

* 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 CCAR/Stress, Allowance methodology (IFRS 9/CECL), Basel II and III regulatory capital in Wholesale Credit and/or Commercial real estate.

* Proven ability to develop collaborative relationships with key internal partners to achieve objectives and prioritizations

* Proficient working in a Linux/UNIX environment * 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. Ability to understand quantitative finance model specifications and translate into practical solutions and software implementation. * 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 Desired Skills: * 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 CCAR/Stress, Allowance methodology (IFRS 9/CECL), Basel II and III regulatory capital in Wholesale Credit and/or Commercial real estate. * Proven ability to develop collaborative relationships with key internal partners to achieve objectives and prioritizations * Proficient working in a Linux/UNIX environment

Keywords: JPMorgan Chase & Co., Plano , CIB QR- Quantitative Research - Wholesale Credit Capital Modeling - Quantitative Developer - As[...], Other , Plano, Texas

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