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.
The opportunity is to join our London team as an associate or VP, with a focus on models and infrastructure for the corporate bond business. The role is spanning all aspects of corporate bond QR coverage, from the mathematical modelling to the development of risk and PL reports in our risk system, Athena. Candidates directly from university will be considered.
Key responsibilities could include:
• Development and support of corporate bond analytics in C++ class library.
• Provide relative value analysis and investigate trading opportunities.
• Development and support of risk reports for both trading and regulatory purposes.
• Integration of C++ pricing library using Python in our risk system, Athena.
• Software design, testing, development and release processes.
• Working closely with technology and other quantitative teams on shared code.
• Development of models related to bond derivatives and new business.
• Communicating with Model Review Groups in order to make models pass strict in-house standards.
The role requires the combination of a very structured mathematical approach to problem solving, experience with quantitative modeling and risk neutral pricing, business overview, and the ability to work in a dynamic environment. 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.
• Very strong mathematical and financial modeling skills.
• Strong interest in programming and design. Experience with C++ coding is desired, and experience with Python would also be a plus.
• Experience on both Linux and Windows systems.
• Ability to work in a high-pressure environment.
• Knowledge of bond markets, in particular corporate bond markets, is a plus, but not a strict requirement.
• Pro-active attitude. Should have a natural interest to learn about our business, models, and infrastructure.
Please note that J.P. Morgan will not accept unsolicited approaches or speculative CVs, nor will J.P. Morgan be responsible for any related fees, from Third Party Firms who are not preferred suppliers.
The firm invites all interested and qualified candidates to apply for employment opportunities.
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