JPMorgan Risk Management - Quantitiative Modeling Lead Vice President 

United States, New Jersey, Jersey City 

27044455

As a Quantitative Modeling Lead on the Commerical and Investment Bank (CIB) Risk team, you will utilize your strong statistical background to work in the regulatory and economical domain. You will develop models in wholesale credit risk, participating in all aspects of quantitative activities ranging from model research and prototyping to business support. You will apply advanced computational, quantitative and modeling skills to develop, iterate and implement models for internal risk management and regulatory market risk capital, among other responsibilities.

Job Responsibilities

• Build and implement statistical models for internal credit risk management, and meet the regulatory (ICAAP) requirements of the wholesale portfolios
• Use research and analytical skills to perform data extraction, sampling, and statistical analyses using various economic and statistical modeling skills (logistic regression, multinomial regression, multivariate analysis, discriminant analysis, neural network, principal components analysis, time series analysis and panel data analysis)
• Collaborate with front office, regulatory management, market risk management, and technology professionals to optimize the firm's risk engines
• Apply analytics/modeling skills (e.g., time-series analysis) and programming skills (e.g., Python, R) to analyze large scale financial and statistical data sets
• Analyze and interpret big data and its impact in both operational and financial areas following comprehensive risk principles and procedures
• Support the business requirements in terms of, for example, risk metrics interpretation, breakdown, as well as supporting new products and addressing newly identified risks
• Coach and develop junior team members

Required Qualifications, Capabilities and Skills

• Minimum Master’s degree or equivalent in Statistics, Mathematical Finance, Mathematics, Operational Research or related quantitative field
• 5+ years of professional experience in Financial and/or Economical Modeling
• Basic Programming skills (one or more languages among C++, R, Python)
• Excellent data analysis and statistical modeling experience (such as Hypothesis testing and model selection, Factor models, copula, regression models, Theoretical aspects of statistical inference and large sample asymptotics, Time series analysis (ARIMA, GARCH, state space models), Model estimation, confidence interval estimation, Distribution fitting and goodness-of-fit test, data analysis and visualization
• Strong interpersonal, verbal and communication skills
• Strong problem solving

Preferred Qualifications, Capabilities and Skills

• Experience of quantitative modeling of Wholesale Credit Risk or Market Risk
• Strong programming skills (C++)
• Credit risk and/or Economical Capital experience
• Experience in interacting with regulators
• Familiarity with risk neutral pricing models and their calibrations (e.g., rate, credit, equity, etc)
• Familiarity in following area(s): Extreme Theory, Econometrics, Numerical algorithms (root finding, optimization, etc), Strong stochastic calculus (SDE, PDE, FE, etc), Macro economical risk factors