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CIB - Credit Quant Research - Associate - NY, NY

Job Description

About J.P. Morgan
J.P. Morgan is a leader in financial services, working in collaboration across the globe to deliver the best solutions and advice to meet our clients’ needs, anywhere in the world.  We operate in 150 countries, and hold leadership positions across our businesses.  We have an exceptional team of employees who work hard to do the right thing for our clients and the firm, every day.  This is why we are the most respected financial institution in the world – and why we can offer you an outstanding career.

 

Our business

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).

 

Our team

The Credit 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 model in library, to integration into risk and PL systems.

 

Opportunity

The opportunity is to join our New York team as an Associate or VP depending on experience, with a focus on creating and maintaining market making algorithm for the corporate bond market primarily. This position requires an understanding of market structure as well as a solid background in statistics, modern machine learning and technology

 

Key responsibilities could include:

  • Development, deployment and support of algorithms for automated and semi-automated quoting and trading of corporate bonds in our in-house system, Athena

  • Research, back-testing and reporting on quoting strategies and ongoing improvements to related infrastructure

  • Statistical analysis of market movements

  • Optimal quoting strategies

  • Communicate results and ideas to the trading desk

  • Communicating with Model Review Groups in order to make models pass strict in-house standards

We work in a very dynamic environment, and excellent communication skills are required in our interaction with trading, technology, and control functions. The role requires a detailed understanding of the corporate bond, cds, and index cds markets. It is understood that the candidate may not have this knowledge from previous experience, but the successful candidate would need to be highly motivated to gain this knowledge. A Ph.D. in a numerate subject from a top academic institution is a plus, but not an absolute requirement.


Essential skills:

  • Very strong statistical and probabilistic skills, especially statistical filtering and optimal control.

  • Attention to details, thorough and persistent in delivering production quality analytics.

  • Ability to work in a high-pressure environment.

  • Pro-active attitude. Should have a natural interest to learn about our business, models, and infrastructure.

  • Strong OO designs skills is required, most likely obtained using C++. In addition, Python would also be a plus as would experience with reactive programming.

Req #: 160036282
Location: New York, NY US
Job Category: Accounting/Finance/Audit/Risk
Employment Type: Full Time
Potential Referral Amount: 0 US Dollar (USD)

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