VP Quantitative Researcher, ALM — Interest Rate Risk Analytics

JP Morgan Chase; Greater London; On-site; GBP 120,000 - 180,000; Full time

Job summary

JP Morgan Chase in London is seeking a Vice President Quantitative Researcher to build and support interest rate risk and pricing models for the ALM portfolio. You will work with risk managers, Treasury, and tech teams to deliver production-quality analytics that inform decision-making.

The role focuses on deposits, callable instruments, municipal securities, swaptions, and linear rates, with emphasis on behavioral features, model calibration, and risk governance.

Qualifications

• Advanced degree in Mathematics, Physics, Statistics, Computer Science, or related quantitative field.
• Experience in interest rate modeling, ALM, or fixed-income derivatives with production delivery.
• Hands-on experience with Athena quant platform (hard requirement).
• Strong knowledge of interest rate products and models including linear rates, swaptions, callable products.
• Strong Python programming skills for maintainable, testable, high-quality code.
• Ability to communicate complex quantitative concepts to non-technical stakeholders.

Responsibilities

• Build and support banking-book interest rate risk and pricing models on the firm’s quantitative analytics platform.
• Model deposits and behavioral products including optionality and prepayment/call behavior.
• Develop models for callable debt, municipal securities, and insurance-related balance sheet items.
• Calibrate interest rate and volatility models across ALM portfolio.
• Apply and extend quantitative libraries; build bespoke models when needed.
• Ensure models meet internal risk and accounting requirements and governance processes.
• Serve as model owner and manage documentation, controls, and change management.
• Respond to model risk, audit, and regulatory reviews with clear explanations.
• Deliver production-quality analytics with reproducibility and testing discipline.
• Communicate complex concepts to stakeholders and drive cross-team alignment.
• Provide technical leadership through code reviews and mentorship.

Skills

Python

Quantitative research

Interest rate modeling

Communication skills

Modeling

Team leadership

Education

PhD/MSc in quantitative field

Tools

Athena quant platform

Job description

JP Morgan Chase in London is seeking a Vice President Quantitative Researcher to build and support interest rate risk and pricing models for the ALM portfolio. You will work with risk managers, Treasury, and tech teams to deliver production-quality analytics that inform decision-making.

The role focuses on deposits, callable instruments, municipal securities, swaptions, and linear rates, with emphasis on behavioral features, model calibration, and risk governance.