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About the Role

Help shape how a global bank manages interest rate risk by building and supporting models that quantify balance sheet sensitivity to rate and volatility moves. Partner closely with risk managers, Treasury stakeholders, and technology teams to deliver production-quality analytics that drive decisions.

Responsibilities

Build and support banking-book interest rate risk and pricing models on the firm’s quantitative analytics platform.
Model deposits and other behavioral products, including optionality and prepayment/call behavior.
Develop and enhance models for callable debt, callable preferred instruments, municipal securities, and insurance-related balance sheet products.
Calibrate interest rate and volatility models used across the asset and liability management portfolio.
Apply and extend existing quantitative libraries where appropriate, and build bespoke models when needed.
Ensure models reflect internal risk measurement requirements and applicable accounting frameworks (including available-for-sale and hedge accounting).
Serve as model owner/developer by managing documentation, controls, monitoring, and change management.
Respond to model risk, audit, and regulatory reviews with clear explanations of assumptions and limitations.
Deliver performant, production-quality analytics using strong engineering practices (testing, reproducibility, and continuous delivery).
Communicate complex quantitative concepts clearly to non-technical stakeholders and drive alignment across partners.
Provide technical leadership through code and method reviews and mentorship across the team.

Requirements

Advanced degree (PhD, MSc, or equivalent) in Mathematics, Physics, Statistics, Computer Science, or a related quantitative field.
Demonstrated quantitative research/development experience in interest rate modeling, asset and liability management, or fixed-income derivatives, with production delivery experience.
Hands-on experience developing on the Athena quant platform (hard requirement).
Hands-on experience developing on the firm’s strategic quantitative analytics platform.
Strong knowledge of interest rate products and models, including linear rates, swaptions, callable products, curve construction, and volatility modeling.
Understanding of banking-book interest rate risk and asset and liability management concepts.
Strong Python programming skills, including building maintainable, testable, and performant quantitative code and applying numerical methods.
Strong quantitative problem-solving skills, including the ability to decompose ambiguous problems and communicate uncertainty and trade-offs clearly.
Strong communication and stakeholder management skills across quantitative, risk, Treasury, and technology partners.

Skills

Interest rate modeling
Asset and liability management
Fixed-income derivatives
Athena quant platform
Quantitative analytics platform
Linear rates
Swaptions
Callable products
Curve construction
Volatility modeling
Python programming
Numerical methods
Quantitative problem-solving
Communication
Stakeholder management
Curve building
Multi-curve frameworks
SABR
Short-rate models
Finite-difference methods
Monte Carlo
SQL
Machine learning

Experience Level

Vice President

Education Level

PhD
MSc
Equivalent quantitative degree

Benefits

Comprehensive health care coverage
On-site health and wellness centers
Retirement savings plan
Backup childcare
Tuition reimbursement
Mental health support
Financial coaching

About the Company

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.
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.

Equal Opportunity

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.
JPMorgan Chase & Co. is an Equal Opportunity Employer, including Disability/Veterans