Model Developer [Multiple Positions Available]

Job Description

DESCRIPTION:

Duties: Programmatically source and aggregate risk data to assess the materiality and impact of data quality issues for time series. Develop and maintain advanced models, methodologies and infrastructure to detect anomalies in time series data, such as flats, or spikes, as well as issues related to deficiency in liquidity and data integrity, and implement data remediation techniques. Enhance the analytics framework of the Data Quality Program for market data time series, supporting firmwide Value at Risk models across multiple asset classes. Lead the development and implementation of statistical tools and user applications for end-to-end market data solutions. Develop scalable data storage and monitor pipelines using object-oriented design and distributed computing to extract, transform, and analyze data used for Market Risk and Counterparty Credit Risk modeling and calculation. Analyze derived time series construction code to establish data lineage and identify issues in the derivation of synthetic time series generated from raw market data. Implement time series construction class in the core framework of Value at Risk model calculations. Collaborate with machine learning engineers and Technology teams to deploy data science solutions that enable natural language processing for market data time series. Respond to technical audit requests and facilitate audit processes to ensure regulatory compliance. Develop secure, high-quality production code and conduct code reviews for junior developers. Coach and mentor junior team members and help develop their quantitative and technical skills.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Computational Finance, Mathematics, Statistics, or related field of study plus two (2) years of experience in the job offered or as Model Developer, Market Risk Quantitative Researcher, or related occupation.

Skills Required: This position requires two (2) years of experience with the following: Developing numerical programs for financial time series analytics using Python and Python libraries including NumPy, Pandas, SciPy, Seaborn, and Matplotlib to process, model, and visualize market data; Building and optimizing SQL queries to extract, transform, and analyze financial time series data from multiple sources; Applying dependency graph programming techniques to manage and process relationships within market data; Designing statistical models to detect data anomalies and ensure integrity in financial datasets, utilizing techniques including correlation analysis, linear regression, and outlier detection algorithms; Performing data engineering and data remediation using quantitative methods including numerical calculus, linear and non-linear interpolation, and proxy filling; Developing scalable data storage and analytical frameworks using object-oriented design and distributed computing to extract, transform, and analyze data used for risk modeling and calculation; Supporting pricing, risk calculations and derived time series construction across Equities, Fixed Income, FX, Commodities, and Structured Products asset classes using financial product knowledge of futures, options, credit default swaps, and securitized products; Estimating financial instrument profit and loss and conducting VaR impact analysis using VaR modeling methods including variance covariance, historical simulation, and Monte Carlo simulation, and sensitivity analysis using delta, gamma, vega, theta, and cross-terms; Enhancing the core calculation framework through code optimization, and performing code review, unit testing, and regression testing while adhering to best coding practices for production deployment.

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, discretionary incentive compensation which may be awarded in recognition of 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. In addition, please visit:

Job Location: 545 Washington Blvd, Jersey City, NJ 07310.

Full-Time. Salary:  $160,000 - $238,000 per year.

About Us

JPMorganChase, 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. Those in eligible roles may receive commission-based pay and/or discretionary incentive compensation, paid in the form of cash and/or forfeitable equity, awarded in recognition of 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 & Co. is an Equal Opportunity Employer, including Disability/Veterans

About the Team

Our professionals in our Corporate Functions cover a diverse range of areas from finance and risk to human resources and marketing. Our corporate teams are an essential part of our company, ensuring that we’re setting our businesses, clients, customers and employees up for success.