JPMorgan Chase is a leading global financial services firm with assets of $2.5 trillion and operations in more than 60 countries. The firm is a leader in investment banking, commercial banking, financial services for small business and consumers, financial transaction processing, asset management and private equity.
J.P. Morgan has the leading Global Spread business in terms of volume traded, issuers traded and investor relationships. The Spread business covers Credit, SPG, and Public Finance Markets. J.P. Morgan Global Spread Trading offers first-class, highly integrated financial services to a global client base and provides financial assets and liquidity for banks, insurance companies, finance companies, mutual funds and hedge funds. Traders, salespeople and research analysts work collectively to generate ideas. The Credit business make secondary markets in high grade bonds/CDS, high yield bonds/CDS, distressed bonds, indices, options, correlation products, and more exotic structures. The Securitized Products Group (“SPG”) engages in origination, syndicate, sales& trading, financing, and principal investments activities. Asset classes include: mortgage-backed securities (commercial, residential, agency and non-agency), mortgage loans, consumer asset-backed securities and receivables (auto, credit card, student, equipment loans).
The Credit and SPG QR team is responsible for developing and maintaining models for valuation, risk, PL calculations, as well as quoting and market making algorithms and analysis tools for the Global Spread business. The responsibilities of the team span the full range from new model specification, going through model approval, implementation of models within a library, to integration into risk and PL systems.
The opportunity is to join our New York team as a VP or Associate depending on the experience, with a focus on pricing models, model evaluation and infrastructure for securitized products business (SPG). Depending on the candidate, you will focus on a specific segment of the SPG portfolio - RMBS, Commercial Term Lending (CTL), Auto Loan & Home Equity Line of Credit (HELOC), mortgage prepayment and default models, etc. from the mathematical modelling to the development of model evaluation platforms in our risk system.
- Evaluating and documenting quantitative methodologies, back-testing and simulating quantitative models
- Ensuring analytical consistency with other products supported in QR quantitative libraries
- Supporting trading activities by explaining model and algorithm behavior, carrying out scenario analyses, developing and delivering quantitative tools, and supporting analytics
The role requires the combination of a very structured mathematical approach to problem solving, experience with quantitative modeling, business overview, and the ability to work in a dynamic environment. Excellent communication skills are required in our interaction with trading, technology, market risk, model review and other control functions. A Ph.D. in a numerate subject from a top academic institution is a plus, but not an absolute requirement.
- Earned a PhD or Master’s degree in math, statistics, physics, financial engineering, computer science or other quantitative fields
- Knowledge of Residential Mortgage Backed Securities (RMBS) market and products
- Strong software design and development skills using C++, Python or Java
- Experience with big data, time series and statistical analysis
- Great communication and interpersonal skills