Quantitative Portfolio Modeling

1 month ago


Bengaluru, India JPMorgan Chase & Co. Full time

In this role you will be responsible development of stress test models as part of the annual CCAR/CECL 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 Group Retail Modeling team and are responsible for providing business excellence through development, validation and monitoring of PD, EAD, and LGD models . 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.

Job Responsibilities:

Design, develop, test, and validate statistical models for Home Lending portfolio risk forecast and model performance monitoring 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, capabilities, and skills

MS, Engineering or PhD degree in a quantitative discipline 5+ years of hands-on work and research experience of advanced analytical skills in the areas of statistical modeling and data mining Proficiency in advanced analytical languages such as SAS (Preferred), R, Python Experience utilizing SQL in a relational database environment such as DB2, Oracle, or Teradata Ability to deliver high-quality results under tight deadlines Strong multi-tasking skills with demonstrated ability to manage expectations and deliver results

Preferred qualifications, capabilities, and skills

Knowledge of regulatory modeling (IFRS9/CECL/CCAR preferred)

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