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CIB QR - Quantitative Research Counterparty Model Risk & Development - Associate

Req #: 180026549
Location: New York, NY, US
Job Category: Accounting/Finance/Audit/Risk
Job Description:

About J.P. Morgan J.P. Morgan is a leading global financial services firm with assets of $2.1 trillion and operations in more than 60 countries. The firm is a leader in investment banking, financial services for consumers, small business and commercial banking, financial transaction processing, asset management and private equity


JPMorgan is a pioneer and industry leader in counterparty risk measurement and management. Counterparty and funding risks have become a key focus for the financial industry and regulators in the wake of the financial crisis. Counterparty and funding risk models are highly complex cross-asset portfolio valuation models. The associated Counterparty and Funding Valuation Adjustment (CVA and FVA) are the fair value of the compensation required for hedging the counterparty and funding risks.


The Model Risk and Development Group for Counterparty Risk (MRaD- CPG) is responsible for developing and supporting models to quantify and risk manage counterparty and funding risks in the investment bank. This group is also responsible for margin modeling as well as credit risk capital calculation.


Core responsibilities:

  • Lead the development and support of CVA and FVA models.
  • Design and implement new cutting-edge, cross-asset, counterparty and funding risk simulation models as well as enhance the existing library.
  • Work closely with business/asset aligned quantitative research groups to onboard new products into the counterparty risk valuation framework.
  • Support dedicated trading team and risk organization in pricing and risk management of credit and funding risks.
  • Liaise with technology teams in order to build out risk management systems and front end tools.
  • Ensure clear documentation and testing of models and work closely with the model review group in order to facilitate model approvals.
  • Liaise with Valuation Control and risk groups to understand limitations and risks in existing models and help in setting appropriate reserves and limits.


  • PhD or MS degree in Math, Math Finance, Physics, Computer Science, Engineering or similar.
  • Deep understanding of probability theory, stochastic processes, PDEs, and numerical methods.
  • Excellent analytical and problem solving abilities.
  • Extensive C/C++ coding experience Excellent communication skills (written and verbal).
  • Team work oriented.


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