VP Quant Researcher, ALM: Rate Risk & Pricing

JPMorgan Chase & Co.; City of Westminster; On-site; GBP 120,000 - 190,000; Full time

Job summary

JPMorgan Chase & Co. is seeking a Vice President Quantitative Researcher for the Asset and Liability Management Quantitative Research team.

You will build and support interest rate risk and pricing models on the firm's platform, focusing on deposits, callable instruments, municipal securities, swaptions, and linear rates. You will own the modeling of behavioral and optionality features across the banking book, calibrate models, and ensure alignment with risk and accounting requirements while

Qualifications

• Advanced degree in Mathematics, Physics, Statistics, Computer Science, or related field.
• Experience in interest rate modeling, asset and liability management or fixed-income derivatives with production delivery.
• Hands-on experience developing on the Athena quant platform (hard requirement).
• Hands-on experience developing on the firm's strategic quantitative analytics platform.
• Strong knowledge of interest rate products and models, including linear rates, swaptions, callable products, curve construction, and volatility modeling.
• Strong Python programming skills, including building maintainable, testable, and performant quantitative code.

Responsibilities

• Build and support banking-book interest rate risk and pricing models on the firm's quantitative analytics platform.
• Model deposits and other behavioral products, including optionality and prepayment/call behavior.
• Develop and enhance models for callable debt, callable preferred instruments, municipal securities, and insurance-related balance sheet products.
• Calibrate interest rate and volatility models used across the asset and liability management portfolio.
• Apply and extend existing quantitative libraries where appropriate, and build bespoke models when needed.
• Ensure models reflect internal risk measurement requirements and applicable accounting frameworks.
• Serve as model owner/developer by managing documentation, controls, monitoring, and change management.
• Respond to model risk, audit, and regulatory reviews with explanations of assumptions and limitations.
• Deliver performant, production-quality analytics using strong engineering practices.
• Communicate complex quantitative concepts clearly to non-technical stakeholders.
• Provide technical leadership through code and method reviews and mentorship.

Skills

Python programming

Quantitative modeling

Communication skills

Stakeholder management

Risk management

Production deployment

Mentorship

Athena platform

SQL

Education

PhD, MSc or equivalent in Mathematics, Physics, Statistics, CS

Tools

Athena platform

SQL

Job description

JPMorgan Chase & Co. is seeking a Vice President Quantitative Researcher for the Asset and Liability Management Quantitative Research team.

You will build and support interest rate risk and pricing models on the firm's platform, focusing on deposits, callable instruments, municipal securities, swaptions, and linear rates. You will own the modeling of behavioral and optionality features across the banking book, calibrate models, and ensure alignment with risk and accounting requirements while