JPMorgan VP Quant Modeling Lead 

United States, Ohio, Columbus 

630611928

DESCRIPTION:

QUALIFICATIONS:

Minimum education and experience required: PhD in Finance, Mathematics, Mathematical Finance, Economics, Statistics, or related quantitative field of study. plus three (3) years of experience in the job offered or as Quantitative Researcher, Risk/Quantitative/Model Associate, Applied Economics Modeler/Researcher, Intern (Quantitative-related), Research Assistant, or related occupation. The employer will alternatively accept a Master's degree in Finance, Mathematics, Mathematical Finance, Economics, Statistics, or related quantitative field of study plus six (6) years of experience in the job offered or as Quantitative Researcher, Risk/Quantitative/Model Associate, Applied Economics Modeler/Researcher, Intern (Quantitative-related), Research Assistant, or related occupation.

Skills Required: This position requires 3 years of experience with the following: working for a global financial institution working in credit risk modeling. This position requires experience with the following skills: Credit risk modeling in consumer financial products; developing Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models in at least one of the following: CCAR, CECL, or BASEL; Using linear and logistic regression models for identifying relationships and predicting outcomes; model diagnostics to address multicollinearity, heteroscedasticity, and autocorrelation; panel data analysis with fixed effects, random effects, and mixed models; discrete choice models to predict credit events like default or delinquency; Data collection and integration from various sources, data cleaning, and preprocessing time series data, handling missing values and outliers; performing data normalization and transformation; conducting exploratory data analysis using histograms, scatter plots, and correlation matrices; Utilizing probability theory to assess the likelihood of credit events and defaults; applying multivariate statistical techniques for dimensionality reduction and identifying patterns in customer segmentation and risk factors; Analyzing macroeconomic indicators to understand their impact on credit risk; conducting stress testing and scenario analysis to evaluate the impact of adverse economic conditions on credit risk; Coding in SAS; conducting statistical analysis and generating reports using PROC MEANS and PROC LOGISTIC; developing and validating credit risk models; writing and debugging SAS macros; using PROC SQL for querying relational databases; Performing data analysis in Python using pandas and NumPy; conducting statistical analysis with SciPy and statsmodels; creating visualizations with matplotlib, seaborn, and Plotly; using Jupyter notebooks for interactive coding; Modeling and simulation methods including Monte Carlo simulation; conducting model validation, backtesting, and developing credit scoring; Multinomial, and spline regression; univariate, bivariate, binning, and clustering analysis; developing decision tree models using CART, selecting and engineering relevant features, and tuning hyperparameters; developing ARIMA models; using seasonal decomposition techniques, GARCH models for volatility forecasting, and Vector Autoregression (VAR) models to capture interdependencies between variables; understanding cointegration and correlation between time series variables; Using UNIX and Linux Shell Scripting to automate tasks, manage data, and integrate tools and processes; writing and debugging shell scripts; file and directory management; integrating shell scripts with SAS; managing user accounts and permissions; Connecting to Oracle and Teradata and using SQL for querying relational databases; using cloud platforms like AWS to perform computation; Using documentation and version control systems to prepare technical model documentation for transparency and effective communication with stakeholders; documenting the model development process; and ensuring documentation meets regulatory requirements under Basel III, CCAR, and CECL.

Job Location: 1111 Polaris Parkway, Columbus, OH 43240.