Derivatives Margin Modeler & Quant Research

JPMorganChase; New York (NY); On-site; USD 205,000 - 285,000; Full time

Benefits offered by this job

Health insurance

Retirement savings plan

Bonuses/incentives

On-site wellness centers

Tuition reimbursement

Mental health support

Financial coaching

Job summary

JPMorganChase is seeking a quantitative researcher to design derivatives margin models, calibrate for market stress, backtest, and implement within risk and margin platforms.

You will collaborate with clients during development, generate supporting documentation, perform rigorous testing, and participate in regulatory meetings as an expert on counterparty risk and initial margin calculations. Strong coding in C++/Python and GPU strategies are valued.

Qualifications

• Master's degree in Mathematics of Finance or related field plus 2 years of experience.
• Experience with CVA, FVA, PFE and risk/exposure modeling for margin calculations.
• C++ and Python implementation with performance profiling tools and GPU computing.

Responsibilities

• Research and develop derivatives margin models including calibration and backtesting.
• Engage clients during model development and provide post-deployment support.
• Document models, test rigorously, and support internal validation processes.
• Present in regulatory meetings as a model-qa expert and drive end-to-end lifecycle.

Skills

Mathematical modeling

Stochastic calculus

Monte Carlo methods

Counterparty risk

CVA/FVA/PFE

Portfolio margin models

Python

C++

GPU computing

Education

Master's degree in finance/math/related field

Tools

Valgrind

Intel VTune

Visual Studio Profiler

CUDA

Job description

JPMorganChase is seeking a quantitative researcher to design derivatives margin models, calibrate for market stress, backtest, and implement within risk and margin platforms.

You will collaborate with clients during development, generate supporting documentation, perform rigorous testing, and participate in regulatory meetings as an expert on counterparty risk and initial margin calculations. Strong coding in C++/Python and GPU strategies are valued.