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CIB QR - Quantitative Research Credit Portfolio Group – Vice President

Req #: 180021525
Location: London, ENG, UK
Job Category: Accounting/Finance/Audit/Risk
Job Description:
About J.P. Morgan
J.P.Morgan’s Corporate & Investment Bank is a global leader across banking, markets and investor services. The world’s most important corporations, governments and institutions entrust us with their business in more than 100 countries. With $18 trillion of assets under custody and $393 billion in deposits, the Corporate & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world.  Further information about J.P. Morgan is available at
JPMorgan Chase & Co. offers an exceptional benefits program and a highly competitive compensation package. JPMorgan Chase & Co. is an Equal Opportunity Employer.
Job summary:
  • Counterparty Risk is the risk that a counterparty to JPMorgan does not fulfil its contractual obligations in full, typically as a result of the default of the counterparty. The associated Counterparty Valuation Adjustment (CVA) is the fair value of the compensation required for taking on this risk.
  • JPMorgan is a pioneer and industry leader in counterparty risk measurement and management. Counterparty risk has become a key focus for the financial industry and regulators in the wake of the financial crisis.
  • The Quantitative Research Group for Counterparty Credit Risk (QR CCR) is responsible for developing and supporting models to measure counterparty risk in the investment bank.
  • The group is also responsible for the wider XVA modelling e.g. modelling funding valuation adjustments (FVA) as well as credit risk capital.
  • Counterparty risk models are highly complex cross-asset class portfolio valuation models.
Core responsibilities:
  • Implementing a wide variety of software including: product payoffs, frameworks for pricing and risk management and pricing algorithms and models
  • Supporting, upgrading, and debugging the software, partnering with other Quants, Traders, and Technologists
  • Liaising with technology groups to deliver the analytics to systems for use by the business
  • Supporting other Quantitative Researchers with programming and technology issues 
Essential skills, experience and qualifications:
  • Must have exceptional Python development skills in a numerical (scientific) programming setting.
  • Prior experience in Python an advantage
  • Strong analytical and problem solving abilities.
  • Good communication.
  • Degree educated or equivalent in a technical discipline 


  • Desirable skills, experience and qualifications:
  • Strong C++ design skills
  • Professional software development experience
  • Experience in High-Performance Computing (e.g. grid computing, GPU)
  • Knowledge of basic options pricing
  • Knowledge of basic probability theory
  • Banking experience is a distinct advantage
    Additional information: while professional experience of option pricing is not essential, the successful candidate would be expected to have started preparatory study in this area
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