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Associate Quantitative Research- Modelling

Maharashtra, India (On-site)

Associate Quantitative Research- Modelling

2 Months ago • 2-3 Years • Finance

About the job

6 skills required for this role

Test your skills to join the top 1% applicants for this job

cpp

python

oops

risk-mitigation

derivatives

risk-management

Job Description

Develop quantitative models for various asset classes like Rates, FX, Equities, Commodities, XVAs, and Credit. Must have strong mathematics, derivatives, and programming skills in Python. Experience in pricing models development is preferred.

Must have:

Mathematics skills
Derivatives knowledge
Python programming
Pricing models

Good to have:

C++ programming
Model development
Quant research
Model risk

Perks:

Dynamic team
Global leader

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About the job

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 quant professional , you will develop the quantitative models across asset classes including Rates/FX/Equities/Commodities/XVAs /Credit. The models are used for multiple purposes like calibrations, stressed valuations, quantifying model limitation and other adjustments. The major usage category of the models falls under Independent price verification and fair value adjustments to ensure that fair value estimates are recorded for the firm’s assets and liabilities.

The candidate is expected to work independently and drive the QR agendas with multiple stake-holders e.g., Trading / Control Functions / IT / Model Validation.

Job Responsibilities

Build analytics to calculate fair value and limitation adjustments, calibrate model parameters and analyze price dynamics of actual transactions on a cumulative and real time basis for use against independent prices.

Discharge duties including the full-range of programming tasks – problem analysis, solution determination, code design and tool development, integration test and documentation.

Work along with MRGR for the reviews of the models and provide testing as appropriate. Understand risks/issues associated with various pricing models and develop model risk mitigation and quantification of those limitations.

Provide quantitative analysis on ad hoc queries raised by stakeholders. Resolve any issues arising in the current model inventory by implementing strategic solutions.

Work alongside VCG to devise and implement sophisticated and consistent methodology for solving business problems including but not restricted to position netting for use in calculation of valuation adjustments and other adjustments for use within regulatory frameworks.

Required Qualifications, Capabilities, And Skills

Proficient in Mathematics including stochastic calculus and probability and statistics

Strong understanding of derivatives, payoffs and valuations across asset classes (Rates/Equities/Credit/XVAs/FX/Commodities etc. )

Hands-on experience in programming, Python is required and C++ is an advantage

Practical experience in developing pricing models or working on enhancement of the quant models

Close attention to detail and ability to work to very high standards

Relevant experience of at least 2-3 years in similar roles in Quant Research and Model Development will be an advantage

Good verbal and written communication and team skills in a multi-location set up

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 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.

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