Quantitative Research Analyst, Counterparty Credit Risk

About the role

Quantitative Research Analyst, Counterparty Credit Risk at J.P. Morgan works in the Wholesale Credit Risk group designing, managing and owning quantitative models and risk limit metrics such as Strategic Stressed Exposure and Potential Future Exposure. The role develops and enhances the SSE framework, builds statistical models for counterparty credit risk, implements Python-based software frameworks and partners with control and technology teams for model governance. Mumbai, India, on-site, full-time.

What you’ll do

• Develop and support the SSE framework and its components for managing counterparty risk
• Build and quantify Risk not in Stress framework and assess impact of un-stressed risk drivers
• Perform quantitative analysis on JPMSE portfolio using firm infrastructure
• Manage model lifecycle with risk and technology partners
• Monitor performance and governance of calculation framework
• Collaborate with QR teams globally and document modeling choices

What you’ll bring

• 1-3 years quantitative research or risk modeling experience
• Master's/Ph.D. in Financial Engineering, Operations Research, Statistics, Mathematics, Computer Science, Economics or related field
• Proficiency in Python and R
• Working knowledge of C++
• Familiarity with counterparty risk, OTC derivatives, futures, options, SFTs
• Understanding of VAR and stress testing methodologies

Skills

Education

Master's/Ph.D.