JPMorgan Quant Modelling – Margining Credit Risk Measurement - Associate 

United States, New York, New York 

968012567

As a Quant Modelling Associate you will be a member of the MRGR team in New York City covering counterparty credit risk models where you will have exposure to multiple assets classes, and the firm’s counterparty credit risk management and collateral risk management processes. You will have day-to-day interaction with quantitative research teams, credit risk functions, and trading desks. Your position will focus on the following activities.

Responsibilities

• Review methodologies for margining and measurement of credit risk.
• Evaluate the conceptual soundness and appropriateness of the model for its intended purpose, the reliability of the inputs, the reasonableness of the assumptions, and the model limitations.
• Assess the adequacy of the testing to support the model assumptions and performance as well as the correctness of the implementation.
• Assist with model governance processes, issue management, and ongoing performance monitoring.
• Work closely with model developers, credit risk officers, and trading desks to help them understand methodology and usage; establish transparency around model controls, model limitations and performance.

Required qualifications, capabilities, and skills

• Quantitative background with at least a master’s degree in mathematics, science, engineering, statistics, quantitative finance, or similar.
• Strong quantitative, analytical, and problem-solving skills; knowledge of probability theory, statistics, mathematical finance, econometrics, numerical methods, and stochastic calculus.
• Relevant quantitative experience at a similar bank/asset management analytics setup.
• Ability to work independently, with remote supervision, and meet deadlines.
• Strong communication skills and a team-player mind-set.
• Inquisitive nature, ability to ask the right questions, assess materiality, and escalate issues.

.Preferred qualifications, capabilities, and skills

• Domain expertise in margining and credit risk measurement.
• Experience with counterparty credit risk in model validation and/or model development.
• Understanding of the finance industry, particularly in modelling – valuation, risk, capital.