CIB QR - Quantitative Research, Credit Portfolio Group – Associate

Job description

About J.P. Morgan
J.P.Morgan’s Corporate & Investment Bank is a global leader across banking, markets and investor services. The world’s most important corporations, governments and institutions entrust us with their business in more than 100 countries. With $18 trillion of assets under custody and $393 billion in deposits, the Corporate & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world.　 Further information about J.P. Morgan is available at www.jpmorgan.com

JPMorgan Chase & Co. offers an exceptional benefits program and a highly competitive compensation package. JPMorgan Chase & Co. is an Equal Opportunity Employer.

Job summary:
·  Counterparty Risk is the risk that a counterparty to JPMorgan does not fulfil its contractual obligations in full, typically as a result of the default of the counterparty. The associated Counterparty Valuation Adjustment (CVA) is the fair value of the compensation required for taking on this risk.
·  JPMorgan is a pioneer and industry leader in counterparty risk measurement and management. Counterparty risk has become a key focus for the financial industry and regulators in the wake of the financial crisis.
·  The Quantitative Research Group for Counterparty Credit Risk (QR CCR) is responsible for developing and supporting models to measure counterparty risk in the investment bank.
·  The group is also responsible for the wider XVA modelling e.g. modelling funding valuation adjustments (FVA) as well as credit risk capital.
·  Counterparty risk models are highly complex cross-asset class portfolio valuation models.
Core responsibilities:
·  Implementing a wide variety of software including: product payoffs, frameworks for pricing and risk management and pricing algorithms and models
·  Supporting, upgrading, and debugging the software, partnering with other Quants, Traders, and Technologists
·  Liaising with technology groups to deliver the analytics to systems for use by the business
·  Supporting other Quantitative Researchers with programming and technology issues 
Essential skills, experience and qualifications:
·  Must have exceptional C++ development or Python code design skills 
·  Strong analytical and problem solving abilities.
·  Good communication.
·  Degree educated or equivalent in a technical discipline
Desirable skills, experience and qualifications:
·  Strong C++ design skills
·  Professional software development experience
·  Experience in High-Performance Computing (e.g. grid computing, GPU)
·  Knowledge of basic options pricing
·  Knowledge of basic probability theory
·  Banking experience is a distinct advantage
Additional information: while professional experience of option pricing is not essential, the successful candidate would be expected to have started preparatory study in this area