Are you looking for an exciting opportunity to join a dynamic and growing team in a fast paced and challenging area? As a quantitative modeler, you will play a critical role in providing effective, timely and independent assessments of the firm's booking models of exotic structures and also helps in developing alternative benchmarking models for structures as and when necessary. Specifically, we are looking for an infrastructure quant with experience in the design and development of independent valuation applications.
Quantitative Research (QR) is an expert quantitative modeling group in J.P. Morgan, as well as a leader in financial engineering, data analytics, statistical modeling 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
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Job Responsibilities:
- Define the architecture for a state-of-the-art model calibration and independent valuation application that is modular, scalable and robust
- Integrate and 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 stresses
- Drive initiatives for increased automation and digitization across the model space, including inventories of models, products, limitations and adjustments
- Design and implement data pipelines for the ingestion, processing and storage of independent datasets used 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
- Optimize the application for high performance utilizing distributed computing, cloud-based solutions, or GPU acceleration where possible
- Design and develop software frameworks for analytics and their delivery to downstream systems and application
Required qualifications, capabilities and skills:
- You demonstrate quantitative and problem-solving skills as well as research skills
- You demonstrate proficiency in software design patterns, 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 understand advanced mathematics arising in financial modeling, such as probability theory, stochastic calculus, statistics etc.
- You have hands-on experience with data analytics, including working with large data sets and tools for data analysis and visualization.
- You have excellent verbal and written communication and team skills in a multi-location set-up
Preferred qualifications, capabilities and skills:
- Advanced degree (PhD, MSc or equivalent) in Computer Science, Engineering, Mathematics, Physics, etc.
- Markets experience and familiarity with general trading concepts and terminology
- Knowledge of options pricing theory, trading algorithms, financial regulations, stochastic process, partial differential equations and numerical analysis
- Knowledge of financial products, their payoff functions and models
- Familiarity with full-stack software development
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 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.
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.