Quantitative Researcher – Derivatives Margin & CVA/PFE

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

Job summary

JPMorganChase is seeking a Senior Quantitative Researcher to advance derivatives margin models and integrate them into risk and margin systems in New York. You will lead model development, validation tests, and documentation, while engaging with clients and regulators throughout the lifecycle.

The role requires mastery of advanced quantitative methods, strong programming in C++/Python, and experience with CVA, FVA and PFE modeling within a leading financial institution.

Qualifications

• Advanced degree with strong mathematical foundation in finance and risk.
• Experience in counterparty credit risk and initial margin models is required.

Responsibilities

• 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 for internal validation.
• Serve as a subject-matter expert in regulatory meetings related to quantitative modeling for counterparty credit risk and initial margin calculations.
• Drive end-to-end model development lifecycle, including source code control, release testing, and deployment.

Skills

No-arbitrage pricing theory

Stochastic calculus

Probability theory

Reduced-form intensity model

Monte Carlo simulation

Continuous time stochastic processes

Value-at-Risk (VaR) analysis

CVA/FVA/PFE modeling

C++ and Python

CUDA / GPU computing

Education

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

Tools

Valgrind

Intel VTune

Visual Studio Profiler

CUDA

Job description

JPMorganChase is seeking a Senior Quantitative Researcher to advance derivatives margin models and integrate them into risk and margin systems in New York. You will lead model development, validation tests, and documentation, while engaging with clients and regulators throughout the lifecycle.

The role requires mastery of advanced quantitative methods, strong programming in C++/Python, and experience with CVA, FVA and PFE modeling within a leading financial institution.