Job Abstract

An excellent opportunity to join JPMorgan Chase’s world-class quantitative research team in New York. The Counterparty Credit Risk and Margin Quantitative Research team (CCR & Margin QR) is looking for a highly motivated individual to join our New York team to develop state-of-the-art analytics and risk management tools for counterparty credit risk and margin. You will have the opportunity to interact with business end users and collaborate with the XVA modeling team. The successful candidate will have a strong background in programming, quantitative finance and excellent ability to communicate

Job Responsibilities:

• Design and implement cutting edge quantitative methods and analytical tools for modeling of counterparty credit risk and margin.
• Provide modeling support to end users from the Counterparty Credit Risk and the Collateral Management & Optimization groups.
• Collaborate with Technologies across the entire model development lifecycle from initial implementation to model deployment and release testing.
• Opportunities to work with High Performance Computing (HPC) including cloud computing, GPU and automatic differentiation.
• Automation and application of data analytics to improve processes.

Required qualifications, capabilities, and skills:

• Programming: hands-on experience with Python and C++
• Good communication skills both written and verbal
• Quantitative finance, probability theory, statistics and problem solving skills (machine learning a plus)
• MS degree minimum in a quantitative field, e.g. Quantitative Finance, Math, Physics, Computer Science or Engineering