Quantitative Research - Counterparty Credit Risk - Associate

Counterparty Credit Risk Quantitative Research is looking for a highly motivated candidate to join our New York team. You will work to develop and implement state-of-the-art quantitative models and tools for pricing and risk management of counterparty credit risk and credit capital.

Job Summary

CCR QR is part the global quantitative research group of JP Morgan's Corporate and Investment Bank (CIB). We are responsible for the R&D and support of models and tools specialized in pricing and managing of counterparty portfolio risks. CCR QR is also responsible for development of the latest margin, collateral optimization and credit risk capital models (Basel IMM).

Job Responsibilities

The team is searching for a highly motivated problem solver with strong quantitative and programming skills. The successful candidate should have excellent verbal and written communication skills with the ability to explain complicated concepts to non-experts.

You need ability to work in a highly collaborative and dynamic environment as well as handle a lot of interaction with trading, risk management and technology.

• Opportunities to work with the latest high performance computing (HPC) techniques such as cloud computing, distributed processing, GPU optimization
• Design and implement state-of-the-art simulation and derivative pricing models for a wide range of asset classes including IR, FX, equities, credit and commodities
• Proximity to counterparty trading and the credit risk organization to solve challenging finance problems in counterparty credit risk (XVA, margin optimization, capital, etc.)

Required Qualifications, Capabilities, And Skills

• Software development life cycle management experience
• Strong communication skills both written and verbal
• Work experience in C/C++ and Python programming
• PhD or MS degree in a quantitative field, e.g. Math, Finance, Physics, Computer Science or Engineering
• Excellent quantitative and problem solving skills
• 1+ year of industry experience

Preferred Qualifications, Capabilities, And Skills

• Machine learning or data analytics experience is a plus

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. 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.

The health and safety of our colleagues, candidates, clients and communities has been a top priority in light of the COVID-19 pandemic. JPMorgan Chase was awarded the "WELL Health-Safety Rating" for all of our 6,200 locations globally based on our operational policies, maintenance protocols, stakeholder engagement and emergency plans to address a post-COVID-19 environment.

As a part of our commitment to health and safety, we have implemented various COVID-related health and safety requirements for our workforce. Employees are expected to follow the Firm's current COVID-19 or other infectious disease health and safety requirements, including local requirements. Requirements include sharing information including your vaccine card in the firm's vaccine record tool, and may include mask wearing. Requirements may change in the future with the evolving public health landscape. JPMorgan Chase will consider accommodation requests as required by applicable law.

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, discretionary incentive compensation which may be 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.

Equal Opportunity Employer/Disability/Veterans

Base Pay/Salary

New York,NY $135,000.00 - $200,000.00 / year