Quantitative Researcher

Job Description DESCRIPTION:
Duties: Build bespoke risk analytics tools for wholesale credit risk reports. Review results from risk models under development, in testing and in production. Analyze 10 years quarterly historically portfolio (more than a trillion dollar exposure) and 200+ macro variables to detect important features of the portfolio in response to structured different capital market movement. Participate in quantitative risk metric development in python with statistical techniques like regression. Perform time series analysis to analyze the linear or non-linear setting response to macro forecasts in the integrated loss measures (expected loss, Net Charge-Off). Identify the key transformed macro variables that could impact on loss forecasts from 20+ different transformation methods including logarithm, percentage difference, exponential weighted moving average and so on among 200+ historical macro variables (country based GDP, unemployment rate, stock market, credit market, commodities and other major capital market movement) across different scenarios. Develop the regression models systematically in python conjunction with the front end visualization tool of excel. Expand research topic furthermore to a wide variety of machine learning topic and techniques involved in true-up and portfolio profiling projects. Test Hypotheses and specific research to optimize different Neural Network layer structures to derive better forward and backward propagation equations to train models by minimizing a penalized version of the least squares cost functions on loss measure estimations. Diagnose importance responses on loss from categories variables through SHAP (Shapely Additive explanations).
QUALIFICATIONS:
Minimum education and experience required: This position requires a Bachelor's degree in Physics, Astronomy, Applied Quantitative Discipline Background (Sciences, Computing, Statistics, or Mathematics), or related field of study of study plus three (3) years of experience in the position offered or three (3) years of experience as a Quantitative Researcher, Quantitative Developer, Research Assistant, or related occupation.
Skills Required: Requires experience in the following: Python Programming for example pandas, Numpy, matplotlib; Statistical Inference including Linear Regression and Time Series; Data analytics and
classical machine learning tools: Neural Network, XGboost; Whole sale lending risk including PD, LGD, EAD concepts; Technical written skills with Mathematical equations and LaTex; Unix system and Bash language; Hadoop, Impala, and Tableau; Translate technical concepts into easy to understand language for our stakeholders; Amazon Cloud; and Kubernetes.
Job Location: 545 Washington Boulevard, Jersey City, NJ 07310
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.
The health and safety of our colleagues, candidates, clients and communities has been a top priority in light of the COVID-19 pandemic. JPMorgan Chase was awarded the "WELL Health-Safety Rating" for all of our 6,200 locations globally based on our operational policies, maintenance protocols, stakeholder engagement and emergency plans to address a post-COVID-19 environment.
As a part of our commitment to health and safety, we have implemented various COVID-related health and safety requirements for our workforce. Employees are expected to follow the Firm's current COVID-19 or other infectious disease health and safety requirements, including local requirements. Requirements include sharing information including your vaccine card in the firm's vaccine record tool, and may include mask wearing. Requirements may change in the future with the evolving public health landscape. JPMorgan Chase will consider accommodation requests as required by applicable law.
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.
Equal Opportunity Employer/Disability/Veterans
About the Team The Corporate & Investment Bank is a global leader across investment banking, wholesale payments, markets and securities services. The world's most important corporations, governments and institutions entrust us with their business in more than 100 countries. We provide strategic advice, raise capital, manage risk and extend liquidity in markets around the world.