Quantitative Research - Markets Capital Rates - Associate

Job Description

Our QR team's mission is to develop and maintain sophisticated mathematical models, cutting-edge methodologies and infrastructure.

The QR Markets Capital team sits within Quantitative Research and is responsible for the quantitative framework of the risk management (in particular market risk models) and regulatory capital. The role sits within the Rates asset class team covering the Global Rates and Rates Exotics business. This includes responsibility for methodology, model development, the testing and implementation of analytics used to monitor and analyze the performance of the framework. The group works closely with other Quantitative Research teams, coverage teams (Trading and Market Risk), Technology and Model Risk teams.

Job Summary:

As an Associate within the Quantitative Research, Markets Capital Rates team, you will be part of the firm's effort to enhance the strategic risk system there is a strong requirement for new model development, involving significant research and development, and implementation in Python. You will get a chance to utilize your quantitative knowledge, statistical modelling and data science skills. Derivatives pricing knowledge, strong coding skills and good communication, being able to work well both independently and as part of team will contribute to your success in this role.

Job responsibilities:

• Develop mathematical models for market risk quantification across the Bank's portfolio
• Carry out research projects in order to define methodologies and improve Market Risk and regulatory capital framework
• Implement new models including maintenance of the existing models
• Provide a quantitative support to the users (trading, market risks coverage teams)
• Liaise with various functions such as Market Risk Technology, Market Risk Coverage, Markets Capital Core Analytics, Quantitative Research and Model Risk

Required qualifications, capabilities, and skills:

• You have PhD/Masters or equivalent degree in Mathematics, Physics, Math Finance or Engineering
• You demonstrate substantial Python programming experience
• You have strong analytical and problem solving abilities
• You demonstrate excellent communication skills, both verbal and written
• You have good understanding of derivatives valuation models

Preferred qualifications, capabilities and skills:

• You demonstrate knowledge of rates derivative pricing, probability theory, stochastic process, partial differential equations, numerical analysis, statistics, time series analysis, machine learning
• You have knowledge of quantitative risk modelling; VaR, risk capital models, stress methodology
• You demonstrate experience in model development or model validation

About Us

J.P. Morgan is a global leader in financial services, providing strategic advice and products to the world's most prominent corporations, governments, wealthy individuals and institutional investors. Our first-class business in a first-class way approach to serving clients drives everything we do. We strive to build trusted, long-term partnerships to help our clients achieve their business objectives.

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.