Quant jobs / JPMorgan

Quantitative Developer – Credit Portfolio (CVA/FVA)

Hands-on developer for the large Monte Carlo engine that computes CVA and FVA across the bank's derivatives. Sits in the Credit Portfolio Group within Markets.

What you’d work on

Our reading of the posting: what a new hire in this role would most likely spend their first months on.

Extend the Monte Carlo simulation engine for CVA and FVA
Add numerical techniques that speed up sensitivity calculations
Ship robust, tested production code with technology teams
Support traders and risk managers with new analytics

What they ask for

Required

Track record of shipping production software
Degree in a quantitative or engineering field
Strong Python for large-scale systems
Algorithm design and testing discipline
Stakeholder communication

Preferred

PhD in engineering, maths, physics or computer science
Markets and trading terminology
Options pricing theory
Testing and verification practices

Education: Degree in computer science, engineering, maths or physics; advanced degree preferred
Experience: Proven experience building and shipping production software; deep quant background not required
Languages and tools: Python
Markets: credit, multi-asset

How to prepare

Write a vectorised Monte Carlo exposure engine and profile it
Learn algorithmic differentiation and compute sensitivities with it
Study CVA and FVA definitions and how netting affects exposure
Practise unit and regression testing on numerical code

What to study

The Derivatives Pricing Quant roadmap sets out the stages for this kind of role, with free resources for each.

Open the roadmap

Apply

Read the full posting on JPMorgan’s site before applying: requirements, location and pay can change after we check them.

View the posting on JPMorgan’s site ↗

SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with JPMorgan and doesn’t handle applications.