Quantitative Research [Multiple Positions Available]
New York City, NY, United States14h ago
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Skills
About the role
DESCRIPTION:
Duties: Drive end-to-end research, development, and enhancement of derivative pricing and cross-asset diffusion models focused on commodities and foreign exchange, including model testing and preparation of model documentation. Conduct ongoing model performance testing and serve as a point of contact during model review and re-review processes. Provide quantitative support to trading desks through analytical methodologies for profit-and-loss attribution, risk decomposition, and hedging evaluation. Develop frameworks that improve transparency of model behavior and risk factor dynamics. Collaborate with front office stakeholders on structuring and onboarding new transactions and asset types, including independent assessment and validation of counterparty credit risk metrics and exposure profiles. Interface with credit risk management functions to support pre-trade approval workflows and post-trade credit exposure monitoring in alignment with enterprise risk governance frameworks.
QUALIFICATIONS:
Minimum education and experience required: Master's degree in Financial Engineering, Mathematical Finance, Statistics, or related field of study plus three (3) years of experience in the job offered or as Quantitative Research, Quantitative Analyst, or related occupation.
Skills Required: This position requires three (3) years of experience with the following: Applying no-arbitrage pricing theory, stochastic calculus, probability theory, measure theory, reduced-form intensity models, and continuous-time stochastic processes to quantitative modeling and analytics across commodities such as North America and European Oil, Power, Gas, Emission, Base and Precious Metals, and foreign exchange markets including G10 and major emerging market currencies; Calibrating multi-factor models with seasonality and mean-reversion features using optimization algorithms to fit model parameters to observed market data; Developing and maintaining high-performance computational libraries using C++, including memory management, parallelization strategies, Monte Carlo methods, optimization methods, interpolation and approximation methods, stochastic differential equations, and regression methods; Quantifying counterparty credit risk metrics and regulatory capital measures to support risk management and governance processes; Constructing and deploying analytical tools for profit and loss attribution, risk decomposition, and hedging strategy evaluation using econometric methods, statistical learning, machine learning models, and automated workflow frameworks to support trading and risk management.
Job Location: 270 Park Ave, New York, NY 10017.
Full-Time. Salary: $200,000 - $285,000 per year.
We offer a competitive total rewards package including base salary determined based on the role, experience, skill set and location. Those in eligible roles may receive commission-based pay and/or discretionary incentive compensation, paid in the form of cash and/or forfeitable equity, 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.
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.
JPMorgan Chase & Co. is an Equal Opportunity Employer, including Disability/Veterans