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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.
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.
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.
PhD or Ms.Sc in heavy quantitative field: finance, econometrics, mathematics, physics, engineering.
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:
Verifiable experience in writing technical documents and/or academic papers.
Good to have:
Previous experience in writing documents for regulators.
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