Quant Developer

The client need someone with experience on "Front Office Model Development (Pricing Models)" + Very strong on Python with Pedigree. Please find below the detailed JD

The primary responsibilities for this role will include:

- Model Development: Build analytics to calculate fair value and limitation adjustments, calibrate model parameters and analyze price dynamics of actual transactions on a cumulative and real time basis for use against independent prices.

- Programming/Software Engineering: Duties including the full-range of programming tasks - problem analysis, solution determination, code design and tool development, integration test and documentation.

- Model Risk Mitigation: Work along with MRGR for the reviews of the models and provide testing as appropriate. Understand risks/issues associated with various pricing models and develop model risk mitigation and quantification of those limitations.

- Quant Analysis: Provide quantitative analysis on ad hoc queries raised by stakeholders. Resolve any issues arising in the current model inventory by implementing strategic solutions.

- Thought Leadership/Methodology: Work alongside VCG to devise and implement sophisticated and consistent methodology for solving business problems including but not restricted to position netting for use in calculation of valuation adjustments and other adjustments for use within regulatory frameworks.

Overall, the candidate will need to work closely with teams in Asia-Pacific and/or London and/or New York and will need to be proactive to improve desk efficiencies, access and learn J. P. Morgan's highly sophisticated solutions.

Essential Skills:

- Proficient in Mathematics including stochastic calculus and probability and statistics

- Strong understanding of derivatives, payoffs and valuations across asset classes (Rates/Equities/Credit/XVAs/FX/Commodities etc. )

- Hands-on experience in programming, Python is required and C++ is an advantage

- Practical experience in developing pricing models or working on enhancement of the quant models

- Close attention to detail and ability to work to very high standards

- Relevant experience of at least 2-3 years in similar roles in Quant Research and Model Development will be an advantage