CIB QR – Quantitative Research, Securitized Products - Associate - J.P. Morgan - London - Wizbii

CIB QR – Quantitative Research, Securitized Products - Associate

2018-05-17T06:56:25+0000

Job description

Description:

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 London team as an Associate, with a focus on pricing models, model evaluation and infrastructure for cash and derivatives products in the European Asset Backed Securities space (ABS) for Securitized Products Business (SPG). The role is spanning all aspects of SPG QR coverage for ABS, from the mathematical modelling to the development of model evaluation platforms in our risk system.

Key responsibilities could include:
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 behaviour, carrying out scenario analyses, developing and delivering quantitative tools, and supporting analytics

Qualifications:

Requirements
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:
Earned a PhD or Master’s degree in math, statistics, physics, financial engineering, computer science or other quantitative fields
Knowledge of European ABS market or familiarity with Interest Rate instruments such as Swaps and  Swaptions.
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

About J.P. Morgan’s Corporate & Investment Bank:

J.P. Morgan’s Corporate & Investment Bank is a global leader across banking, markets and investor services. The world’s most important corporations, governments and institutions entrust us with their business in more than 100 countries. With $18 trillion of assets under custody and $393 billion in deposits, the Corporate & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world.  Further information about J.P. Morgan is available at www.jpmorgan.com .

JPMorgan Chase & Co. offers an exceptional benefits program and a highly competitive compensation package. JPMorgan Chase & Co. is an Equal Opportunity Employer.

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About J.P. Morgan

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