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CIB Risk - QR Securitized Products Group - Associate - NY

Job Description

JPMorgan Chase & Co. (NYSE: JPM) is a leading global financial services firm with assets of $2.4 trillion and operations worldwide. The Firm is a leader in investment banking, financial services for consumers and small businesses, commercial banking, financial transaction processing, asset management and private equity. A component of the Dow Jones Industrial Average, JPMorgan Chase & Co. serves millions of consumers in the United States and many of the worlds most prominent corporate, institutional and government clients under its J.P. Morgan and Chase brands. www.jpmorganchase.com.

 

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 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.

 

Opportunity

The opportunity is to join our New York team as an associate or VP depending on experience, with a focus on enhancing the pricing and risk core analytics for the securitized products business. This role will have a strong focus on coding and design, and the successful candidate would be expected to take a lead in the development and design of the libraries for pricing and risk of SPG products. Candidates with strong coding aptitude directly from university will be considered.

 

Key responsibilities could include:

  • Designing and developing core analytics library for SPG products
  • Developing universal interface for model and analytical libraries
  • Collaborate closely with SPG client research and technology on model delivery process
  • Ensuring analytical consistency with other products supported in QR quantitative libraries
  • Development of models related to SPG and/or Mortgage Bank business

Requirements

The role requires the combination of very strong software development skills, a very structured mathematical approach to problem solving, business overview, and the ability to work in a dynamic environment. Prior knowledge of quantitative modeling and risk neutral pricing is a plus, but not an absolute requirement. Excellent communication skills are required in our interaction with trading, technology, and control functions. A strong interest in good software design principles is a requirement as well. A Ph.D. in a numerate subject from a top academic institution is a plus, but not an absolute requirement.

 

Essential skills:

  • Earned a PhD or Master’s degree in math, statistics, physics, financial engineering, computer science or other quantitative fields
  • Exceptional analytical, quantitative and problem-solving skills
  • Great communication and interpersonal skills
  • Knowledge of bond markets, in particular securitized products (RMBS/CMBS/ABS) market, is a plus, but is not a strict requirement.
  • Strong interest in object oriented programming and design. Experience with C++ coding is desired, and experience with Python and Java would be a plus
Req #: 160036292
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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