JPMorgan Quantitative Research - Associate Derivative Pricing 

India, Maharashtra, Mumbai 

627191491

As a Quantitative Research - Associate - Derivative and Pricing within the Quants Group, you will play a critical role in supporting the activities of the Valuation Control Group & Model Risk Management globally. You will be responsible for model development, validation, and documentation, as well as working closely with teams in Asia-Pacific, London, and New York. This role provides an opportunity to improve desk efficiencies and learn J. P. Morgan’s highly sophisticated solutions.

This role, in particular, will be Quant role and will be dedicated to work on the QR agenda for Valuation Control Group (VCG). Valuation Control Group is a firm wide control function, independent of the “Front Office” whose responsibilities include independent price verification and determination of pricing and fair value adjustments required to ensure that fair value estimates for the assets and liabilities that are recorded on the balance sheet at fair value are appropriate.

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.
• Understand risks/issues associated with various pricing models and develop model risk mitigation and quantification of those limitations.
• 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.
• Perform full-range of programming tasks – problem analysis, solution determination, code design and tool development, integration test and documentation.
• Familiarity with internal and regulatory guidelines on Model assessment and Documentation and experience in tools like LaTex

Required qualifications, capabilities, and skills

• Highly analytical bent of mind and quantitative skills;
• Good verbal and written communication and team skills in a multi-location set up
• Strong understanding of financial products – mathematics of their valuations and risks associated with them
• Knowledge of C++/Python will be a plus
• Close attention to detail and ability to work to very high standards
• Min 2 years in similar roles in Quant Research and Model Development will be an advantage