Quantitative Research-Modelling -Vice President
Quantitative Research-Modelling -Vice President
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Job Description
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 within the Quantitative Research team at J.P. Morgan you will play a pivotal role in shaping our firms future and will provide effective timely and independent assessments of our booking models and contribute to the development of alternative benchmarking models.
Join our dynamic and growing Quantitative Research team at J.P. Morgan as a Quantitative Modeler. This role offers the chance to shape our firms future by providing independent assessments of our booking models and developing alternative benchmarking models. Youll have the opportunity to leverage your experience in designing independent valuation applications making a significant impact on our team. Our global team is a leader in financial engineering data analytics statistical modeling and portfolio management partnering with various stakeholders across all products and regions.
Job Responsibilities:
- Define the architecture for a stateoftheart 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 cloudbased 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 problemsolving skills as well as research skills
- You demonstrate proficiency in software design patterns codedesign 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 handson 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 multilocation setup
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 regulationsstochastic process partial differential equations and numerical analysis
- Knowledge of financial products their payoff functions and models
- Familiarity with fullstack software development
Required Experience:
Chief
Employment Type
Full-Time
