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CIB QR - Quantitative Research Capital Modeler - Associate

Req #: 170072304
Location: New York, NY, US
Job Category: Accounting/Finance/Audit/Risk
Job Description:
For its model development Group within the Risk organization, JPMC is looking for a capital modeler to tackle the regulatory oriented modeling (Basel/CCAR) for securitized exposures.
The tasks include probability of default, loss given default, exposure at default 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.
Data mining background and experience (clustering, decision trees, logistic regression…).
 
Good to have:
Familiarity with credit risk terms and basic models.
 
Programming:
Requirement:
Hands on programming in one or more of the following: R, Python/pandas.
 
Good to have:
Experience in dealing with all aspects of analyzing sizable data.
 
Education:
Requirement:
PhD or Ms.Sc in heavy quantitative field: finance, econometrics, mathematics, physics, engineering.
 
Finance:
Requirement:
Some credit risk exposure either wholesale or retail.
Basel II and III regulatory capital framework (credit RWA-SFA/SSFA), CCAR framework.
Basic knowledge of common structured products (ABS, CDO).
 
Good to have:
Exposure to CMBS and/or Commercial Real Estate.
Exposure to mortgages.
Exposure to Intex.
 
Writing skills:
Requirement:
Verifiable experience in writing technical documents and/or academic papers.
 
Good to have:
Previous experience in writing documents for regulators.
 
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