JP Morgan's markets business needs to develop and maintain sophisticated mathematical models, cutting-edge methodologies and infrastructure to value and risk manage financial transactions.
Requirements
- Expertise in Python and/or C++, including experience with numpy, scipy and/or pandas
- Expertise in data structures, standard algorithms and OO design.
- Strong software design skills and implementation skills
- Strong analytical and problem solving abilities.
- Knowledge and experience of machine learning is a plus
- Knowledge of financial products and understanding of derivatives valuation models is a plus
- Probability theory, financial math or stochastic calculus is a plus
Responsibilities
- Implementation of the next generation of risk analytics platform and assess model performance, perform back testing analysis and P&L attribution;
- Improve performance and scalability of analytics algorithms and develop and enhance mathematical models for VaR/Stress/FRTB; Assess the appropriateness of quantitative models and their limitations, identifying and monitoring the associated model risk;
- Design efficient numerical algorithms and implementing high performance computing solutions.
- Design and develop software frameworks for analytics and their delivery to systems and applications.
Other
- Good interpersonal and communication skills, ability to work in a group
- Graduate degree in Mathematics or Computer Science
- Excellent oral and written communication skills
- Knowledge of finance or quantitative finance is desired
