About this role
Job title: Quantitative Trading & Research – Credit Portfolio – Quantitative Developer – Associate or Vice President
Quantitative Trading & Research (QTR) is an expert quantitative modelling group in J.P. Morgan. As a global team, QTR partners with traders, marketers and risk managers across all products and regions, contributes to sales and client interaction, product innovation, valuation and risk management, inventory and portfolio optimization, electronic trading and market making, and appropriate financial risk controls.
Job summary
We are seeking an experienced Associate or Vice President to join our Quantitative Trading & Research (QTR) team in London. Our mission is to develop analytics for the Credit Portfolio Group (CPG) which sits within the Markets division of the Commercial and Investment Bank (CIB).
About the Credit Portfolio Group (CPG)
CPG is responsible for managing the firm’s credit and funding valuation adjustments (CVA and FVA), which are critical to the bank’s risk management and pricing strategies. The group develops and maintains a large-scale Monte-Carlo engine in order to effectively manage these adjustments. Advanced numerical and computational techniques are used to achieve this including the use of Adjoint Analytic Differentiation (AAD).
Job Responsibilities
As an Associate or a Vice President in the Quantitative Trading & Research – Credit Portfolio team, you will contribute to our agenda to transform the investment bank into a data-driven business, promoting change through state-of-the-art AI and machine learning techniques. This is a hands-on, implementation-focused role, and we are looking for someone with proven experience designing and building scalable, efficient, production-grade solutions. As such, a strong quantitative background is not a key requirement for this role.
- Design, develop, and enhance our large-scale Monte Carlo simulation engine used for computing Credit Valuation Adjustment (CVA) and Funding Valuation Adjustment (FVA) across the firm's derivatives portfolio.
- Implement advanced numerical techniques to further improve computational efficiency and accuracy of risk sensitivities.
- Contribute to the firm's strategic agenda of transforming the investment bank into a data-driven business through the development of scalable, high-performance analytical tools and infrastructure.
- Collaborate with technology teams, ensuring robustness, performance, and maintainability of code in a large-scale production environment.
- Partner closely with traders, marketers, and risk managers across all products and regions to deliver analytical solutions that meet business needs.
- Drive best practices in