Quantitative Researcher - Risk Analytics & HPC

Next Frontier Capital; New York (NY); On-site; USD 200,000 - 285,000; Full time

Job summary

JPMorgan Chase & Co. in New York city seeks a quant to develop analytics and risk tools for counterparty credit risk and margin. You will work with the XVA modeling team and end users across the model development lifecycle, leveraging HPC, cloud, and GPU technologies to automate analytics.

The role requires advanced degrees in quantitative fields and experience with derivative pricing, margin models, and programming in C++/Python. Base salary is competitive with broad total rewards.

Qualifications

• Master's degree in a quantitative field plus 2 years of experience in quantitative finance or related roles.
• PhD in a related field with no experience also acceptable.
• Experience with derivative pricing and margin calculations.

Responsibilities

• Develop state-of-the-art analytics and risk management tools for counterparty credit risk and margin.
• Interact with business end users and collaborate with the XVA modeling team.
• Design and implement quantitative methods and analytical tools across the model development lifecycle.
• Provide modeling support to CTR and Collateral Management & Optimization groups.
• Leverage HPC, cloud computing, GPU, and automatic differentiation; automate data analytics to improve processes.

Education

Master's degree in Computational Finance or related field

PhD in Computational Finance or related field

Tools

Excel

Job description

JPMorgan Chase & Co. in New York city seeks a quant to develop analytics and risk tools for counterparty credit risk and margin. You will work with the XVA modeling team and end users across the model development lifecycle, leveraging HPC, cloud, and GPU technologies to automate analytics.

The role requires advanced degrees in quantitative fields and experience with derivative pricing, margin models, and programming in C++/Python. Base salary is competitive with broad total rewards.