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.
About UsWe 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
Skills Required
- Master's degree in Mathematics of Finance, Quantitative Financial Modeling, Computational Finance, Mathematics, Statistics, Physics, or a related field
- Two years of experience in the job offered or as a Quantitative Researcher or related occupation
- Experience with no-arbitrage pricing theory, stochastic calculus, probability theory, reduced-form intensity models, Monte Carlo simulation methods, and continuous-time stochastic processes
- Experience quantifying counterparty credit risk metrics including CVA, FVA, PFE, capital, and stressed exposures
- Experience building portfolio- and trade-level margin models for swaps, options, and exotic path-dependent derivatives
- Experience using Value-at-Risk analysis for exposure and margin model backtesting
- Experience implementing CVA, FVA, PFE, regulatory exposure, and margin models in C++ and Python
- Experience using Valgrind, Intel VTune, and Visual Studio Profiler
- Experience with parallel and GPU computing techniques, including CUDA, for performance optimization
JPMorganChase Compensation & Benefits Highlights
The following summarizes recurring compensation and benefits themes identified from responses generated by popular LLMs to common candidate questions about JPMorganChase and has not been reviewed or approved by JPMorganChase.
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Healthcare Strength — Medical, dental, vision, and mental-health coverage are broad, with wellness incentives, on-site or virtual care, and an EAP offering coaching and counseling. Plan materials emphasize accessible options, including multiple medical choices and tools to manage costs.
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Parental & Family Support — Paid parental leave extends up to 16 weeks for all parents, supplemented by paid Critical Caregiver Leave. Family resources include backup childcare via Bright Horizons, lactation support and milk-shipping, family-building assistance, and even a free five-month SNOO rental for newborns.
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Retirement Support — Retirement programs include a 401(k) with an annual company match and automatic pay credits for most employees, with a legacy pension available to earlier hires. An Employee Stock Purchase Plan at a 5% discount further supports long-term savings.
JPMorganChase Insights
What We Do
JPMorgan Chase & Co. (NYSE: JPM) is a leading global financial services firm with assets of $3.7 trillion and operations worldwide. The firm is a leader in investment banking, financial services for consumers and small businesses, commercial banking, financial transaction processing, and asset management. A component of the Dow Jones Industrial Average, JPMorgan Chase & Co. serves millions of consumers in the United States and many of the world’s most prominent corporate, institutional and government clients under its J.P. Morgan and Chase brands. Technology fuels every aspect of our company and is at the heart of everything we do. With over 50,000 technologists globally and an annual tech spend of $12 billion, we are dedicated to improving the design, analytics, development, coding, testing and application programming that goes into creating high quality software and new products. Learn more about technology at our firm, explore resources from our Distinguished Engineers, AI & ML researchers, and other experts; access the latest episode of our TechTrends podcast, and more at www.jpmorgan.com/technology. Information about JPMorgan Chase & Co. is available at www.jpmorganchase.com. ©2023 JPMorgan Chase & Co. All rights reserved. JPMorgan Chase is an Equal Opportunity Employer, including Disability/Veterans.
Why Work With Us
Our technologists work on a diverse range of solutions that include strategic technology initiatives, big data, mobile, electronic payments, machine learning, cybersecurity, enterprise cloud development, and other state-of-the-art technologies.
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