Quantitative Researcher - Derivatives Margin & Risk Models

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

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