Quantitative Research

2 months ago

Brooklyn, New York, United States JPMorganChase Full time

Job Description
If you are passionate, curious, and ready to make an impact, we are looking for you.
Quantitative Research (QR) is an expert quantitative modelling group in J.P. Morgan, as well as a leader in financial engineering, data analytics, statistical modelling and portfolio management. As a global team, QR partners with traders, marketers and risk managers across all products and regions, contributes to sales and client interaction, product innovation, valuation and risk management, inventory and portfolio optimization, electronic trading and market making, and appropriate financial risk controls.
Job summary:
As a Quantitative Model Developer in Quantitative Research Valuation Control Group team, you will play a critical role in providing effective, timely and independent assessments of the firm's booking models of exotic structures and in developing alternative benchmarking models for structures as and when necessary.
QR Valuation Control Group (QR VCG) is a global team of modelling experts within the firm's Global Markets organization. The team's mission is to develop and maintain sophisticated mathematical models, cutting-edge methodologies, and infrastructure for fair value measurement of derivatives transactions across the Commercial and Investment Bank (CIB). We work closely with the VCG Coverage Teams, FO Trading Desks as well as the Model Risk organization to deliver class-leading valuation analytics for fair value estimation of assets and liabilities on the firm's balance sheet.
Job responsibilities

  • Develop mathematical models for the calculation of pricing adjustments, model limitation provisions, model parameter uncertainty reserves and other regulatory calculations like prudential valuation adjustments and CCAR stress
  • Devise and implement consistent methodologies for model calibration and build analytics to remediate model limitations identified by the model validation team to better manage the model risk appetite of the firm
  • Develop on-going model performance monitoring metrics to ensure that the models behave according to expectations through time
  • Document modelling choices and collaborate with Model Risk, Governance & Review teams during internal model reviews
  • Design and develop software frameworks for analytics and their delivery to systems and applications

Required qualifications, capabilities, and skills

  • You demonstrate quantitative and problem-solving skills as well as research skills
  • You understand advanced mathematics arising in financial modelling, such as probability theory, stochastic calculus, statistics etc.
  • You have strong understanding of financial products - their valuations and risks associated with them
  • You have hands-on experience with data analytics, including working with large data sets and tools for data analysis and visualization.
  • You demonstrate proficiency in code design and programming skills, with primary focus on Python and C++;
  • You have practical experience with code performance optimization, debugging and reverse engineering
  • You have excellent verbal and written communication and team skills in a multi-location set-up

Preferred qualifications, capabilities, and skills

  • You have advanced degree (PhD, MSc or equivalent) in Engineering, Mathematics, Physics or Computer Science
  • You demonstrate 2-3 years of experience in Quantitative models development or model validation
  • You have markets experience and familiarity with general trading concepts and terminology
  • You demonstrate knowledge of options pricing theory, trading algorithms, financial regulations, stochastic process, partial differential equations and numerical analysis
  • You demonstrate knowledge of financial products, their payoff functions and models
  • You are familiar with software design patterns
  • You have experience with high performance computing

About Us
JPMorgan Chase & Co., 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. For those in eligible roles, we offer discretionary incentive compensation which may be awarded in recognition of firm performance and 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 is an Equal Opportunity Employer, including Disability/Veterans
About the Team
The Corporate & Investment Bank is a global leader across investment banking, wholesale payments, markets and securities services. The world's most important corporations, governments and institutions entrust us with their business in more than 100 countries. We provide strategic advice, raise capital, manage risk and extend liquidity in markets around the world.

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