Location: New York, NY, United States

Bring your Expertise to JPMorgan Chase.  As part of Risk Management and Compliance, you are at the center of keeping JPMorgan Chase strong and resilient. You help the firm grow its business in a responsible way by anticipating new and emerging risks, and using your expert judgement to solve real-world challenges that impact our company, customers and communities. Our culture in Risk Management and Compliance is all about thinking outside the box, challenging the status quo and striving to be best-in-class.

As a Quant Modeling Associate in the MRGR team in New York City, you will cover counterparty credit risk models where you will have exposure to multiple assets classes, and the firms 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.

Job 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 masters 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 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.
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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.
 

Join the team that manages model risks of state-of-the-art margining and credit risk measurement models at J.P. Morgan Chase.