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Vice President, Quantitative Researcher

Company: JPMorgan Chase Bank, N.A
Location: Jersey City
Posted on: September 17, 2020

Job Description:

Duties: Develop probabilistic models for pricing and hedging credit products and forecasting losses from wholesale credit portfolios in various economic scenarios. Extend the model coverage from HFS ("Held For Sale") portfolios to asset classes that have been reclassified as FVO ("Fair Value Option"), including products held for the purpose of securitization, such as CLOs ("Collateralized Loan Obligation"). Provide loss forecasts for various wholesale credit portfolios (HFS and FVO) to support risk management (Risk Appetite) and satisfy regulatory requirements, such as CCAR ("Comprehensive Capital Analysis and Review"). Provide detailed documentation of the developed models for submission to internal reviewers, audit, and the financial regulator (Federal Reserve Bank). Defend the developed models in front of the internal model review group and address the issues and model risks identified by the reviewers. Communicate the results of the models to other groups (such as the wholesale credit analytics team) and incorporate the feedback from the LOBs ("Lines Of Business") in the model specification. Work together with the data analytics team to ensure the integrity of the data inputs and the adequacy of the model design for the business needs in scope. Perform ongoing performance assessment of the already developed models.. QUALIFICATIONS:. Minimum education required: Ph.D. degree or equivalent in Mathematics, Statistics, Physics, Econometrics, or Computer Science, or related field.. Minimum experience required: 2 years of research experience in a quantitative field, or related experience.. Skills required:Demonstrated knowledge of mathematical modeling. Experience in statistical analysis. Demonstrated knowledge of machine learning techniques. Demonstrated knowledge of quantitative finance. Demonstrated knowledge of methodologies for pricing and hedging securitized products. Experience in econometric modeling and time series analysis. Experience with coding in Python or R. Experience writing publication quality technical documents in a mathematical field, explaining complicated technical concepts in simple english. Demonstrated knowledge of regulatory frameworks including CCAR and Basel. Employer will accept any amount of experience with the required skills gained through professional experience, graduate research, or teaching experience.. About Us. JPMorgan Chase & Co., one of the oldest financial institutions, offers innovative financial solutions to millions of consumers, small businesses and many of the world’s most prominent corporate, institutional and government clients under the J.P. Morgan and Chase brands. Our history spans over 200 years and today we are a leader in investment banking, consumer and small business banking, commercial banking, financial transaction processing and asset management.. We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. In accordance with applicable law, we make reasonable accommodations for applicants’ and employees’ religious practices and beliefs, as well as any mental health or physical disability needs.. Equal Opportunity Employer/Disability/Veterans. About the Team. Our Corporate & Investment Bank relies on innovators like you to build and maintain the technology that helps us safely service the world’s important corporations, governments and institutions. You'll develop solutions that help the bank provide strategic advice, raise capital, manage risk, and extend liquidity in markets spanning over 100 countries around the world.. Job Identification. 210023249. Job Category. Research. Locations. 545 Washington Blvd, Jersey City, NJ, 07310, US. Get job updates from JPMorgan Chase Bank, N.A.. One of the most respected companies in the world, Chase offers experienced professionals like you an array of opportunities to take your .... Thousands of employers search for candidates on Indeed

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Keywords: JPMorgan Chase Bank, N.A, Jersey City , Vice President, Quantitative Researcher, Other , Jersey City, New Jersey

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