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JPMorgan Chase & Co.
- London
- JPMorgan Chase & Co. - London
About J.P. MorganJ.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 disciplineDesirable 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 advantageAdditional information: while professional experience of option pricing is not essential, the successful candidate would be expected to have started preparatory study in this area