Investment & Research team, Derivatives Associate

Join JPMorgan Chase's Private Bank Solutions Investment Quantitative Research team as an Associate specializing in Derivatives Risk Modeling and Analytics.

You'll contribute to solving solutions spanning derivatives pricing and risk modeling, factor modeling, Greeks and sensitivity analytics, portfolio-level risk aggregation, stress testing, and scenario analysis across a broad derivatives universe.

The team works closely with portfolio managers, derivatives solutions specialists, risk, and lending teams across JPMorgan Chase Wealth Management, as well as partnering with Technology teams to deliver solutions at scale.

The quantitative research team is based in New York and Mumbai.

You will be responsible for developing and implementing quantitative models for derivatives risk, valuation, and P&L analytics to enhance our modeling capabilities and expand coverage across OTC and exchange-traded derivatives.

You will build deep expertise across multiple derivatives asset classes, including Equity Derivatives (options, variance/volatility swaps, exotic structures), Interest Rate Derivatives (swaps, swaptions, caps/floors), Credit Derivatives (CDS, CDX, tranches), FX Derivatives (options, barriers, accumulators), Commodity Derivatives, and Structured Products (structured notes, autocallables, and other payoff structures).

Job Responsibilities


* Derivatives Risk Modeling: Develop and implement pricing and risk models for vanilla and exotic derivatives across equity, rates, credit, FX, and commodities.


* Greeks & Sensitivity Analytics: Build and maintain sensitivity frameworks capturing delta, gamma, vega, theta, rho, and higher-order Greeks; implement bump-and-reprice and algorithmic differentiation approaches for efficient risk computation.


* P&L Attribution: Develop attribution frameworks isolating contributions from underlying moves, volatility surface changes, time decay, correlation, skew, and basis risk across derivative portfolios.


* Factor Modeling: Contribute to multi-factor risk models that capture key drivers of derivatives portfolios, including implied volatility surface dynamics, correlation structures, term structure movements, and skew behavior.


* Stress Testing & Scenario Analysis: Implement stress testing frameworks for volatility shocks, correlation breakdowns, liquidity dislocations, gap risk, and historical crisis events; support scenario methodologies capturing tail risk, non-linear payoff effects, and path dependency.


* Structured Products Analytics: Develop valuation and risk models for structured notes and bespoke payoffs, including autocallables, barrier products, and range accruals; model embedded optionality and issuer credit risk.


* Research: Conduct empirical research on volatility surface dynamics, correlation modeling, model calibration techniques, and market microstructure; contribute to new risk factor development and model enhancements.


* Validation & Governance: Perform back...