VP Quantitative Researcher, ALM: Rate Risk Modeling

JPMorgan Chase & Co.; City Of London; On-site; GBP 120,000 - 180,000; Full time

Benefits offered by this job

Competitive compensation package

Discretionary incentive compensation

Job summary

JPMorgan Chase & Co. is seeking a Vice President Quantitative Researcher to shape how a global bank manages interest rate risk.

You will build and support models quantifying balance sheet sensitivity to rate moves and volatility, partnering with risk managers, Treasury, and technology teams to deliver production-quality analytics. The role focuses on deposits, callable instruments, municipal securities, swaptions, and linear rates within the ALM framework, with ownership of behavioral and

Qualifications

• Advanced degree (PhD, MSc, or equivalent) in Mathematics, Physics, Statistics, Computer Science, or related quantitative field.
• Demonstrated quantitative research/development experience in interest rate modeling or ALM.
• 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 (linear rates, swaptions, callable products).
• Understanding of banking-book interest rate risk and ALM concepts.
• Strong Python programming skills with maintainable, testable code.

Responsibilities

• Build and support banking-book interest rate risk and pricing models on the firm’s analytics platform.
• Model deposits and behavioral products, including optionality and prepayment/call behavior.
• Develop and enhance models for callable debt, municipal securities, and related balance sheet products.
• Calibrate interest rate and volatility models across ALM portfolios.
• Apply and extend quantitative libraries and build bespoke models when needed.
• Ensure models meet internal risk measurement requirements and accounting frameworks.
• Serve as model owner with documentation, controls, and change management.
• Address model risk, audits, and regulatory reviews with clear explanations.
• Deliver production-quality analytics with strong engineering practices.
• Communicate complex quantitative concepts to non-technical stakeholders.

Skills

Python programming

Quantitative research

Mathematical modeling

Risk management

Stakeholder management

Mentorship

Education

PhD or MSc in quantitative field

Tools

Athena quant platform

Strategic analytics platform

SQL

Job description

JPMorgan Chase & Co. is seeking a Vice President Quantitative Researcher to shape how a global bank manages interest rate risk.

You will build and support models quantifying balance sheet sensitivity to rate moves and volatility, partnering with risk managers, Treasury, and technology teams to deliver production-quality analytics. The role focuses on deposits, callable instruments, municipal securities, swaptions, and linear rates within the ALM framework, with ownership of behavioral and