Quantitative Research [Multiple Positions Available]

JPMorgan Chase & Co. • New York, NY

13d • $200,000 - $285,000 • Onsite

About The Position

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.

Requirements

• Master's degree in Financial Engineering, Mathematical Finance, Statistics, or a related field.
• Three years of experience in the job offered, Quantitative Research, Quantitative Analyst, or a related occupation.
• Three years of experience 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 and foreign exchange markets.
• Three years of experience calibrating multi-factor models with seasonality and mean-reversion features using optimization algorithms to fit model parameters to observed market data.
• Three years of experience 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.
• Three years of experience quantifying counterparty credit risk metrics and regulatory capital measures to support risk management and governance processes.
• Three years of experience 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.

Responsibilities

• Drive research, development, and enhancement of derivative pricing and cross-asset diffusion models focused on commodities and foreign exchange.
• Test models and prepare model documentation.
• Conduct ongoing model performance testing and serve as a point of contact during model review and re-review processes.
• Provide trading desks with quantitative methodologies for profit-and-loss attribution, risk decomposition, and hedging evaluation.
• Develop frameworks to improve transparency of model behavior and risk factor dynamics.
• Collaborate with front office stakeholders to structure and onboard new transactions and asset types.
• Independently assess and validate counterparty credit risk metrics and exposure profiles.
• Support pre-trade approval workflows and post-trade credit exposure monitoring in coordination with credit risk management functions and enterprise risk governance frameworks.

Benefits

• Competitive total rewards package, including base salary determined by role, experience, skill set, and location.
• Eligible roles may receive commission-based pay and/or discretionary incentive compensation in cash and/or forfeitable equity.
• Comprehensive health care coverage.
• On-site health and wellness centers.
• Retirement savings plan.
• Backup childcare.
• Tuition reimbursement.
• Mental health support.
• Financial coaching.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level