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Quantitative Research-Modelling -Vice President
10-15 years
₹ 26 - 75L/yr (AmbitionBox estimate)
Mumbai
1 vacancy
Quantitative Research-Modelling -Vice President
JPMorgan Chase & Co.
posted 2mon ago
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Key skills for the job
Job Description
- Define the architecture for a state-of-the-art model calibration and independent valuation application that is modular, scalable and robust
- Integrate and develop mathematical models for the calculation of pricing adjustments, model limitation provisions, model parameter uncertainty reserves and other regulatory calculations like prudential valuation adjustments and CCAR stresses
- Drive initiatives for increased automation and digitization across the model space, including inventories of models, products, limitations and adjustments
- Design and implement data pipelines for the ingestion, processing and storage of independent datasets used for model calibration and build analytics to remediate model limitations identified by the model validation team to better manage the model risk appetite of the firm
- Optimize the application for high performance utilizing distributed computing, cloud-based solutions, or GPU acceleration where possible
- Design and develop software frameworks for analytics and their delivery to downstream systems and application
- You demonstrate quantitative and problem-solving skills as well as research skills
- You demonstrate proficiency in software design patterns, code design and programming skills, with primary focus on Python and C++;
- You have practical experience with code performance optimization, debugging and reverse engineering
- You understand advanced mathematics arising in financial modeling, such as probability theory, stochastic calculus, statistics etc.
- You have hands-on experience with data analytics, including working with large data sets and tools for data analysis and visualization.
- You have excellent verbal and written communication and team skills in a multi-location set-up
- Advanced degree (PhD, MSc or equivalent) in Computer Science, Engineering, Mathematics, Physics, etc.
- Markets experience and familiarity with general trading concepts and terminology
- Knowledge of options pricing theory, trading algorithms, financial regulations, stochastic process, partial differential equations and numerical analysis
- Knowledge of financial products, their payoff functions and models
- Familiarity with full-stack software development
Employment Type: Full Time, Permanent
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What people at JPMorgan Chase & Co. are saying
Rating based on 135 Vice President
reviews
Anonymous · Engineering - Software & QA
in Hyderabad / Secunderabad
industry standard pay and benifits are good. Good learning resources.
- Skill development - Good
Lots of politics and as many captive organizations, you will only succeed if you have contacts
- Promotions - Poor
Vice President salary at JPMorgan Chase & Co.
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