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CIB – Risk – Quantitative Research -SPG Quantitative Analyst - VP / London

Job Description

Job Title/ Location:
VP / London
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 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 London team as a VP, with a focus on pricing models, model evaluation and infrastructure for the securitized products business, in particular European RMBS and CMBS, and also derivatives on them (BGS/CDS/PAS). The role is spanning all aspects of securitized products QR coverage, from the mathematical modelling to the development of model evaluation platforms in our risk system.
Key responsibilities could include:
  • Designing and developing core analytics library for EMEA SPG products
  • Ensuring analytical consistency with other products supported in QR quantitative libraries
  • Evaluating and documenting quantitative methodologies, back-testing and simulating quantitative models
  • 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 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.
Essential skills:
  • Adequate experience working in a front office quant role supporting the securitized products (RMBS/CMBS/ABS) business
  • Extensive knowledge in the securitized products (RMBS/CMBS/ABS) market, with exposure to the EMEA market a plus but not necessary
  • Solid understanding of the general mortgage and other structured product models, hence can select the most meaningful risk factors in model development for products that do not have rich data
  • Deep understanding of risk measures for securitized products, and can make good judgment in applying new risk measures for risk limit and VaR usage
  • 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
  • Strong software design and development skills using C++, Java, and Python
Req #: 150126410
Location: London, ENG GB
Job Category: Accounting/Finance/Audit/Risk
Employment Type: Full Time
Potential Referral Amount: 3500 Pound Sterling (GBP)

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