JPMorgan Quantitative Research – Valuation Models Associate 

United Kingdom, England, London 

663832907

Job summary:

As a Quantitative Model Developer inValuation Control Group team, you will play a critical role in providing effective, timely and independent assessments of the firm’s booking models of exotic structures and in developing alternative benchmarking models for structures as and when necessary.

Job responsibilities

• Develop mathematical models for the calculation of pricing adjustments, model limitation provisions, model parameter uncertainty reserves and other regulatory calculations like prudential valuation adjustments and CCAR stress
• Devise and implement consistent methodologies for model calibration and build analytics to remediate model limitations identified by the model validation team to better manage the model risk appetite of the firm
• Develop on-going model performance monitoring metrics to ensure that the models behave according to expectations through time
• Document modelling choices and collaborate with Model Risk, Governance & Review teams during internal model reviews
• Design and develop software frameworks for analytics and their delivery to systems and applications

Required qualifications, capabilities, and skills

• You demonstrate quantitative and problem-solving skills as well as research skills
• You understand advanced mathematics arising in financial modelling, such as probability theory, stochastic calculus, statistics etc.
• You have strong understanding of financial products – their valuations and risks associated with them
• You have hands-on experience with data analytics, including working with large data sets and tools for data analysis and visualization.
• You demonstrate proficiency in code design and programming skills, with primary focus on Python and C++;
• You have practical experience with code performance optimization, debugging and reverse engineering
• You have excellent verbal and written communication and team skills in a multi-location set-up

Preferred qualifications, capabilities, and skills

• You have advanced degree (PhD, MSc or equivalent) in Engineering, Mathematics, Physics or Computer Science
• You demonstrate 2-3 years of experience in Quantitative models development or model validation
• You have markets experience and familiarity with general trading concepts and terminology
• You demonstrate knowledge of options pricing theory, trading algorithms, financial regulations, stochastic process, partial differential equations and numerical analysis
• You demonstrate knowledge of financial products, their payoff functions and models
• You are familiar with software design patterns
• You have experience with high performance computing