Quantitative Research - Prime - Vice President - JPMorgan Chase
New York, NY
About the Job
You'll have the opportunity to work in a dynamic environment, engage closely with the Prime trading desk to understand desk pricing & analytics requirements, and drive the delivery of business impacting solutions in partnership with global QR Prime and Technology teams.
Job Summary:
As a Vice President in the QR Prime team, you'll be creating and supporting derivatives pricing and risk management models to enable Prime trading desks to hedge portfolio risk. You'll be developing statistical models for client risk and partner with PFS risk team to monitor and manage exposure in client portfolios. You'll be developing machine learning-based models and analytics for client portfolios and help the desk manage balance sheet usage and liquidity cost. The modeling and analytics development will be performed in JPM's Athena & Qlib platforms using Python & C++ programming languages. You'll have the opportunity to work in a dynamic environment, engage closely with the Prime trading desk to understand desk pricing & analytics requirements, and drive the delivery of business impacting solutions in partnership with global QR Prime and Technology teams.
Job Responsibilities:
+ Develop statistical models and tools to support pricing and risk management of hedge fund client portfolios optimizing for revenue, balance sheet consumption, liquidity cost.
+ Build ML Analytical models and tools to extract signals from Prime client positioning and trading data; analyze client profitability (ROE/ROA analytics), margin loans and liquidity consumption.
+ Develop derivatives pricing and risk management models for Equity swaps, Index futures, Forwards and instruments with customized payoffs traded by Prime trading desk.
+ Work closely with NA Synthetics desk to enhance Synthetics Pricing platform which provides internalization-adjusted price quotes for client synthetic trades on indices, ETFs, custom baskets.
+ Drive Analytics, Automation & Optimization (AAO) agenda for Prime desks by creating analytics to increase revenue, reduce cost, monitor/alert for risks; automating desk workflows.
+ Design and implement software framework for data analytics in Athena/Python, delivering results through dashboards, Voila apps, email reports.
+ Derivatives PnL/Risk explain for Prime desks in partnership with PC team.
+ Partner with control teams - Market Risk, VCG, MRGR - for ongoing model and risk governance.
+ Engage tech partners to deploy the models to traders' desktops.
+ Collaborate with global QR Prime team to deliver solutions meeting global desk needs.
Required Qualifications, Capabilities and Skills:
+ Education: Master's/Ph.D in Financial Engineering, Operations Research, Statistics, Mathematics, Computer Science, or related field of study plus 3 years of experience in the job offered or in Quantitative Research, Quantitative Strategy, or related occupation.
+ Programming: Experience in the following: Python, C++; machine learning packages including Sklearn and statsmodel.
+ Databases: SQL or KDB.
+ Modeling: ML Classification, regression, clustering; Time series analysis & modeling; Statistical Inference; Stochastic calculus; Financial derivatives pricing; Monte
JPMorgan Chase & Co., one of the oldest financial institutions, offers innovative financial solutions to millions of consumers, small businesses and many of the world's most prominent corporate, institutional and government clients under the J.P. Morgan and Chase brands. Our history spans over 200 years and today we are a leader in investment banking, consumer and small business banking, commercial banking, financial transaction processing and asset management.
We offer a competitive total rewards package including base salary determined based on the role, experience, skill set, and location. For those in eligible roles, we offer discretionary incentive compensation which may be awarded in recognition of firm performance and individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more. Additional details about total compensation and benefits will be provided during the hiring process.
We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. We also make reasonable accommodations for applicants' and employees' religious practices and beliefs, as well as mental health or physical disability needs. Visit our FAQs for more information about requesting an accommodation.
JPMorgan Chase is an Equal Opportunity Employer, including Disability/Veterans
Base Pay/Salary
New York,NY $200,000.00 - $285,000.00 / year
Job Summary:
As a Vice President in the QR Prime team, you'll be creating and supporting derivatives pricing and risk management models to enable Prime trading desks to hedge portfolio risk. You'll be developing statistical models for client risk and partner with PFS risk team to monitor and manage exposure in client portfolios. You'll be developing machine learning-based models and analytics for client portfolios and help the desk manage balance sheet usage and liquidity cost. The modeling and analytics development will be performed in JPM's Athena & Qlib platforms using Python & C++ programming languages. You'll have the opportunity to work in a dynamic environment, engage closely with the Prime trading desk to understand desk pricing & analytics requirements, and drive the delivery of business impacting solutions in partnership with global QR Prime and Technology teams.
Job Responsibilities:
+ Develop statistical models and tools to support pricing and risk management of hedge fund client portfolios optimizing for revenue, balance sheet consumption, liquidity cost.
+ Build ML Analytical models and tools to extract signals from Prime client positioning and trading data; analyze client profitability (ROE/ROA analytics), margin loans and liquidity consumption.
+ Develop derivatives pricing and risk management models for Equity swaps, Index futures, Forwards and instruments with customized payoffs traded by Prime trading desk.
+ Work closely with NA Synthetics desk to enhance Synthetics Pricing platform which provides internalization-adjusted price quotes for client synthetic trades on indices, ETFs, custom baskets.
+ Drive Analytics, Automation & Optimization (AAO) agenda for Prime desks by creating analytics to increase revenue, reduce cost, monitor/alert for risks; automating desk workflows.
+ Design and implement software framework for data analytics in Athena/Python, delivering results through dashboards, Voila apps, email reports.
+ Derivatives PnL/Risk explain for Prime desks in partnership with PC team.
+ Partner with control teams - Market Risk, VCG, MRGR - for ongoing model and risk governance.
+ Engage tech partners to deploy the models to traders' desktops.
+ Collaborate with global QR Prime team to deliver solutions meeting global desk needs.
Required Qualifications, Capabilities and Skills:
+ Education: Master's/Ph.D in Financial Engineering, Operations Research, Statistics, Mathematics, Computer Science, or related field of study plus 3 years of experience in the job offered or in Quantitative Research, Quantitative Strategy, or related occupation.
+ Programming: Experience in the following: Python, C++; machine learning packages including Sklearn and statsmodel.
+ Databases: SQL or KDB.
+ Modeling: ML Classification, regression, clustering; Time series analysis & modeling; Statistical Inference; Stochastic calculus; Financial derivatives pricing; Monte
JPMorgan Chase & Co., one of the oldest financial institutions, offers innovative financial solutions to millions of consumers, small businesses and many of the world's most prominent corporate, institutional and government clients under the J.P. Morgan and Chase brands. Our history spans over 200 years and today we are a leader in investment banking, consumer and small business banking, commercial banking, financial transaction processing and asset management.
We offer a competitive total rewards package including base salary determined based on the role, experience, skill set, and location. For those in eligible roles, we offer discretionary incentive compensation which may be awarded in recognition of firm performance and individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more. Additional details about total compensation and benefits will be provided during the hiring process.
We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. We also make reasonable accommodations for applicants' and employees' religious practices and beliefs, as well as mental health or physical disability needs. Visit our FAQs for more information about requesting an accommodation.
JPMorgan Chase is an Equal Opportunity Employer, including Disability/Veterans
Base Pay/Salary
New York,NY $200,000.00 - $285,000.00 / year
Source : JPMorgan Chase
