JPMorgan Risk Management - Wholesale Credit Capital 

United States, New Jersey, Jersey City 

757791197

As a Credit Capital Model Development Vice President within the Wholesale Credit Risk Management Quantitative Research team, you will utilize your experience in modeling of either balance forecasting (commitment, utilization, prepayment) and/or spread/GII/NII and focus on Pre-Provision Net Revenue (PPNR) stress modeling methodologies.

Job Responsibilities

• Develop statistical models and frameworks for PPNR forecasting under different economic scenarios.
• Work across the entire team , including planning, analysis, development, and testing of new applications and enhancements to existing applications. Ensure adherence to best practices and standards throughout the development process.
• Perform data analysis to support model development and analytics and collaborate with LOBs and LOB finance teams to ensure integrity and accuracy in model results
• Liaise with various lines of business to thoroughly understand various models for CCAR, CECL and other credit risk applications. Ensure alignment with regulatory requirements and internal governance standards.
• Define data models, metadata, and data dictionary that will enable data analysis and analytical explorations. Implement data governance practices to ensure data quality, consistency, and compliance with organizational policies.
• Participate in stress testing exercises: CCAR, RA, IFRS9

Required Qualifications, Capabilities and Skills

• Masters degree in finance, statistics, econometrics, mathematics, physics, engineering or similar quantitative discipline
• Minimum 3 years of experience
• Solid theoretical and practical knowledge of statistical methods and models: generalized linear models, time-series analysis, clustering, decision trees logistic regression
• Basic knowledge on credit risk modeling both at single-obligor level and portfolio level
• Experience in handling large amount of panel data and data cleaning/filtering
• Hands on programming in Python
• Previous experience in writing documents for regulatory reviews

Preferred Qualifications, Capabilities and Skills

• Prior experience in wholesale credit
• Prior experience in PPNR modeling
• Hands on programming experience in R