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CIB QR - Quantitative Research - Wholesale Credit Modelling - Associate/ VP

Req #: 180032238
Location: Mumbai, MH, IN
Job Category: Sales/Trading/Research
Job Description:
Quant Research (Wholesale Credit Modeling), Mumbai
For its Quantitative Research group within the Risk organization, JPMC is looking for a capital modeler to tackle the regulatory modeling for securitized exposures (Basel/CCAR).
The models include probability of default, loss given default, exposure at default and stress-testing.
Applicant should combine the skillset below. Application not meeting the statistics and programming requirements will not be considered.
  • Solid theoretical and practical knowledge of probability methods and usual models: generalized linear models, time-series analysis, panel data…
  • Data mining background and experience: clustering, decision trees, logistic regressions…
Good to have:
  • Familiarity with classification problems applied to credit risk.
  • Hands-on programming in one or more of the following: R, Python/pandas.
Good to have:
  • Experience in dealing with sizable datasets (parallel processing, code optimization…).
  • PhD or M.Sc in quantitative field: econometrics, mathematics, physics, engineering.
  • Basic knowledge of the Basel III regulatory capital framework (credit RWA).
  • Some credit risk experience in either wholesale or retail.
  • Basic knowledge of common structured products (ABS, CLO).
Good to have:
  • Exposure to CMBS and/or Commercial Real Estate.
  • Exposure to mortgages.
Writing skills:
  • Verifiable experience in writing technical documents and/or academic papers.
Good to have:
  • Previous experience in writing documents for regulators.
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