Credit Risk Modeling

7 months ago

Mumbai, India JPMorgan Chase & Co Full time

**JOB DESCRIPTION**
In this role you will be responsible development of stress test models as part of the annual CCAR (Comprehensive Capital Analysis and Review) / CECL(Current Expected Credit Losses) exercise. You will also have an opportunity to use your experience with econometric/statistical modeling, data manipulation, query efficiency techniques, reporting and automation. You will be a part of Cards CCAR (Comprehensive Capital Analysis and Review) Modeling team support regulatory model development along with providing insights for the CECL(Current Expected Credit Losses) Runs. The role will require expertise in methods and metrics used for model development and performance assessment of various types of risk models used in Portfolio Risk, CCAR (Comprehensive Capital Analysis and Review), Time Series and Forecasting. You will help the firm understand, manage, and anticipate risks in a constantly changing environment. The work covers areas such as evaluating country-specific risks, understanding regulatory changes and determining credit worthiness. If you are intellectually curious and have a passion for driving solutions across organizational boundaries, you may be the perfect fit for our team.

**Responsibilities**:

- Design, develop, test, and validate statistical models for for the largest consumer credit card portfolio in US.
- Utilizing graduate-level research and analytical skills to perform data extraction, sampling, and statistical analyses using logistic regression, multinomial regression, multivariate analysis, discriminant analysis, time series analysis, panel data analysis, etc.
- Efficiently design and produce programs to streamline and create repeatable procedures for model development, validation, and reporting
- Process, cleanse, and verify the integrity of data used for analysis
- Perform deep dive analysis to address ad hoc inquiries

**Required Qualifications, Skills and Capabilities**:

- Understanding of econometric/statistical modeling techniques, model framework design, data analysis, query efficiency techniques, reporting, and automation
- knowledge of complex Cards Forecasting Models using Hazard Model Framework and Markov chain-based approaches
- Hands on Python, PySpark skill in model development.
- Ability to provide and present model results, insights and recommendation to senior management and partners using MS Office Suite (i.e. PowerPoint, Word, and Excel).
- Strong interpersonal skills, independent thinking, problem solving and communication skills

**Preferred Skills and Qualification**:

- Prior CCAR knowledge
- Experience of Risk and Financial model development
- Macro-economic impact evaluation on portfolio performance
- Additionally, solid understanding of consumer businesses, functions, systems, data environments, and processes that are necessary for the production and utilization of data
- Strong knowledge of SQL and hands on experience in any database (Oracle/Teradata/DB2)

**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.

**ABOUT THE TEAM**

Our Consumer & Community Banking division serves our Chase customers through a range of financial services, including personal banking, credit cards, mortgages, auto financing, investment advice, small business loans and payment processing. We’re proud to lead the U.S. in credit card sales and deposit growth and have the most-used digital solutions - all while ranking first in customer satisfaction.

The CCB Data & Analytics team responsibly leverages data across Chase to build competitive advantages for the businesses while providing value and protection for customers. The team encompasses a variety of disciplines from data governance and strategy to reporting, data science and machine learning. We have a strong partnership with Technology, which provides cutting edge data and analy

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