Job Description
DESCRIPTION:
Duties: Develop, test and maintain regulatory, CCP (Central Counterparty) and internal margin models. Research and develop derivative pricing models for stress pricing and margin calculation. Implement model pricing analytics in internal library using C++ and Python. Participate in industry discussion and interact with regulatory agencies for matters related to margin models and back-testing methodology. Develop and document collateral optimization model for trading function. Document and test internal and third-party derivative pricing models.
QUALIFICATIONS:
Minimum education and experience required: Master’s Degree in Mathematics, Statistics, Finance, Financial Engineering or related quantitative field of study plus 2 years of experience in the job offered or as Quantitative Researcher, Financial Quantitative Analyst or related occupation.
Skills Required: Requires experience with the following: Researching and developing quantitative finance models for derivative pricing, margin calculation, and risk management; supporting and backtesting margin models, including SIMM (Standard Initial Margin Model) and CCP (Central Counterparty) margin models; supporting trading functions and risk managers by explaining and troubleshooting quantitative models; using C++ to implement quantitative finance models and optimize methods; performing data and statistical analysis using Python.
Job Location: 383 Madison Avenue, New York, NY 10179. Telecommuting permitted up to 40% of the week.
Full-Time. Salary: $205,000 – $285,000 per year.
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 and perspectives that 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. In accordance with applicable law, we make reasonable accommodations for applicants’ and employees’ religious practices and beliefs, as well as any mental health or physical disability needs. (If you are a US or Canadian applicant with a disability and wish to request an accommodation to complete the application process, please contact us by calling the Accessibility Line (US and Canada Only) 1-866-777-4690 and indicate the specifics of the assistance needed.)
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.
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.