Quantitative Research [Multiple Positions Available]

J.P. Morgan; New York (NY); On-site; USD 205,000 - 285,000; Full time

Benefits offered by this job

Comprehensive health care coverage

On-site health and wellness centers

Retirement savings plan

Backup childcare

Tuition reimbursement

Mental health support

Financial coaching

Job summary

JPMorgan Chase & Co. in New York seeks a highly skilled quantitative professional to lead the research and development of derivatives margin models, calibrating market stress and backtesting models.

You will engage with clients throughout the development cycle and provide ongoing deployment support. The role requires a Master’s degree in a quantitative field and at least two years of related experience, with strong C++ and Python skills, and experience in regulatory modeling for counterparty

Qualifications

• Master's degree in a quantitative field plus 2 years of related experience.
• Experience with CVA, FVA, PFE and margin models for derivatives.
• Proficiency in C++ and Python with performance profiling and optimization.

Responsibilities

• Research and development of derivatives margin models including market stress calibration, backtesting, system design and implementation.
• Drive client engagement and feedback through model development lifecycle and provide ongoing support after deployment.
• Prepare comprehensive documentation and perform rigorous testing for internal model validation processes.
• Serve as SM in regulatory meetings related to quantitative modeling for counterparty credit risk and initial margin calculations.
• Drive end-to-end model development lifecycle including source control, release testing and deployment.

Skills

No-arbitrage pricing

Stochastic calculus

Probability theory

Monte Carlo

VaR analysis

Margin models

CVA/FVA/PFE

C++

Python

CUDA

GPU computing

Parallel computing

Education

Master's degree in Mathematics of Finance / Quantitative Financial Modeling / Computational Finance / Mathematics / Statistics / Physics

Tools

Valgrind

Intel VTune

Visual Studio Profiler

Job description

DESCRIPTION

Duties: Research and development of derivatives margin models including market stress calibration, historical backtesting, system design, and implementation. Drive client engagement and feedback throughout model development lifecycle and provide on-going support after model deployment. Implement mathematical models ensuring seamless integration with credit risk management and margin calculation platforms. Prepare comprehensive documentation and perform rigorous testing of quantitative models to support internal model validation processes. Serve as a subject-matter expert in regulatory meetings related to quantitative modeling for counterparty credit risk and initial margin calculations. Drive the end-to-end model development lifecycle, including source code control, release testing, and model deployment.

QUALIFICATIONS

Minimum education and experience required: Master's degree in Mathematics of Finance, Quantitative Financial Modeling, Computational Finance, Mathematics, Statistics, Physics, or related field of study plus 2 years of experience in the job offered or as Quantitative Research or related occupation.

Skills Required: This position requires experience with the following: Using mathematical models including No-arbitrage pricing theory, stochastic calculus, probability theory, reduced-form intensity model, Monte Carlo simulation methods, and continuous time stochastic processes to quantify counterparty credit risk of Credit Valuation Adjustment (CVA), Funding Valuation Adjustment (FVA), Potential Future Exposure (PFE), and capital and stressed exposures; building portfolio and trade-level margin models for financial derivatives including swaps, options and exotic, path-dependent derivatives; utilizing Value-at-Risk (VaR) analysis for exposure and margin model backtesting; Implementing CVA, FVA, PFE, regulatory exposure and margin models in C++ and Python utilizing profiling tools including Valgrind, Intel VTune and Visual Studio Profiler to identify performance bottleneck and applying parallel and GPU computing techniques including CUDA to optimize performance.

Job Location: 270 Park Avenue, New York, NY 10017.

Full-Time. Salary: $205,000 - $285,000 per year.

JPMorganChase, one of the oldest financial institutions, offers innovative financial solutions to millions of consumers, small businesses and many of the world’s most prominent corporate, institutional and government clients under the J.P. Morgan and Chase brands. Our history spans over 200 years and today we are a leader in investment banking, consumer and small business banking, commercial banking, financial transaction processing and asset management.

We offer a competitive total rewards package including base salary determined based on the role, experience, skill set and location. Those in eligible roles may receive commission-based pay and/or discretionary incentive compensation, paid in the form of cash and/or forfeitable equity, awarded in recognition of individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more. Additional details about total compensation and benefits will be provided during the hiring process.

We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. We also make reasonable accommodations for applicants’ and employees’ religious practices and beliefs, as well as mental health or physical disability needs. Visit our FAQs for more information about requesting an accommodation.

JPMorgan Chase & Co. is an Equal Opportunity Employer, including Disability/Veterans

J.P. Morgan’s Commercial & Investment Bank is a global leader across banking, markets, securities services and payments. Corporations, governments and institutions throughout the world entrust us with their business in more than 100 countries. The Commercial & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world. Research and development of derivatives margin models including market stress calibration, historical backtesting, system design, and implementation.