Quant Modeling Lead [Multiple Positions Available]

Job Description

DESCRIPTION:

Duties: Design and develop independent benchmark models for credit card models, including dataset preparation, model design, performance testing. Conduct comprehensive assessments on the benchmark credit model used for loss forecasting to ensure the robustness and reliability of the champion credit model. Conduct model validation on credit risk models that utilize machine learning techniques with explainability to ensure compliance with regulatory policy. Provide guidance on a model's appropriate usage and ensure that model users are aware of model strengths and limitation. Validate capital models and ensure they are compliant with Basel regulatory policy, including default definitions, methodology, and quantification criteria. Work with model developers to establish action plans and corresponding timelines for model risk issues. Conduct testing of LLM prompt engineering to facilitate automating certain governance processes. Assist with regulatory examinations, by working with internal team to deliver precise and accurate responses to inquiries. Assess qualitative adjustments to capture risks not reflected in the model output to comply with CECL policy. Review qualitative model (QM) requested by regulators by evaluating business assumption and quantitative techniques. Organize quarterly exit meetings and present a summary of the ongoing monitoring plan for credit risk models to senior management team. Coordinate governance activities, including performance monitoring and annual assessments, by collaborating with product teams and managing processes and deadlines. Oversee the management of model risk issues and limitations for credit risk models, ensuring they are accurately documented on the platform. Collaborate with the modeling team to design Ongoing Performance Monitoring (OPM) and Early Warning Analysis (EWA) for model performance in production. Collaborate with the teams to complete model review documentation, including evaluation of key elements of model risk, assessment of estimation diagnostics, assessment of implementation testing, outcome analysis, and ongoing performance monitoring.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Quantitative and Computational Finance, Statistics, Data Analytics, Mathematics, or related quantitative field of study plus three (3) years of experience in the job offered or as Quant Modeling Lead, Quantitative Modeling/Management Associate, Model Risk Associate, or related occupation.

Skills Required: This position requires three (3) years of experience with the following skills: performing data manipulation, data structuring, and data design flow and query optimization using Python, R, and SQL programming languages; conducting benchmarking and statistical analysis using fundamental statistical learning algorithms, including linear regression, logistic regression, and clustering; optimizing XgBoost models via hyperparameter tuning; assessing XgBoost model performance using feature importance analysis and Shapley value computations; and developing and validating credit risk models (including default models for CCAR and CECL) tailored for credit card, mortgage, or auto loan retail products.

We offer a competitive total rewards package including base salary determined based on the role, experience, skill set, and location. For those in eligible roles, discretionary incentive compensation which may be awarded in recognition of individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more. Additional details about total compensation and benefits will be provided during the hiring process. In addition, please visit: 

Job Location: 545 Washington Boulevard, Jersey City, NJ 07310

Full-Time. Salary: $163,300 - $215,000 per year.

About Us

JPMorganChase, 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 offer a competitive total rewards package including base salary determined based on the role, experience, skill set and location. Those in eligible roles may receive commission-based pay and/or discretionary incentive compensation, paid in the form of cash and/or forfeitable equity, awarded in recognition of individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more. Additional details about total compensation and benefits will be provided during the hiring process.

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. We also make reasonable accommodations for applicants’ and employees’ religious practices and beliefs, as well as mental health or physical disability needs. Visit our FAQs for more information about requesting an accommodation.

JPMorgan Chase & Co. is an Equal Opportunity Employer, including Disability/Veterans

About the Team

Our professionals in our Corporate Functions cover a diverse range of areas from finance and risk to human resources and marketing. Our corporate teams are an essential part of our company, ensuring that we’re setting our businesses, clients, customers and employees up for success.