Quantitative Research – Counterparty Credit Risk Associate

vor 4 Wochen


Frankfurt, Deutschland JPMorgan Chase & Co. Vollzeit

This is an opportunity to work on challenging quantitative topics in a highly international environment in close collaboration with our Quantitative Research (QR) partners in in London, New York, Mumbai and Paris. 

As a Quantitative Research – Counterparty Credit Risk Associate within the Risk Management team you will be a part of the development and maintenance of the firm’s internal regulatory counterparty credit risk capital model (IMM), employing state of the art quantitative methods and technology. This model is part of the firm’s suite of credit exposure models used to manage all aspects of counterparty credit risk. In this role you will have an opportunity to develop further your strong technical and quantitative skills to support our team in the European Entity. 

Job responsibilities Design and implement changes to the counterparty credit risk framework Leverage the firm’s infrastructure to perform quantitative analysis on the JPMSE portfolio Manage jointly the life-cycle of the counterparty credit risk model with our risk partners Support ongoing performance monitoring and governance of the calculation framework Cooperate closely with the QR teams across the globe Interact with regulators on all aspects counterparty credit risk modelling Required qualifications, capabilities, and skills Proficiency in Python Experience in C++  Quantitative and problem-solving skills A good understanding of derivatives across asset classes Advanced degree (PhD, MSc or equivalent) in Engineering, Math, Physics, Computer Science, etc. Strong interpersonal skills in communication as well as collaboration Preferred qualifications, capabilities, and skills Experience in counterparty credit risk exposure modelling Experience in IMM and related regulations Experience in quantitative modelling using C++
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