Senior researcher / group leader
Req #: 190030089 Potential Referral Amount: 50000 Indian Rupee (INR)
About 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.
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).
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 model in library, to integration into risk and PL systems.
The opportunity is to join our New York team as an Associate or Vice President, with a focus on the interest rate model calibration, support, and integration into our risk & valuation platform for MBS pricing and risk analytics. The role also involves collaboration with colleagues in the team on prepayment and credit modeling, model evaluations, and infrastructure.
Key responsibilities include:
Collaborating with team members on MBS modeling
Working closely with technology on model integration
Supporting trading activities by explaining model and algorithm behavior, carrying out scenario analysis, developing and delivering quantitative tools, and supporting analytics
Strong mathematical, statistical, and financial modeling skills. A Ph.D. or Master degree in mathematics, physics, or other quantitative field is desired.
Prior experience with interest rate modeling is preferred.
Knowledge of Residential Mortgage Backed Securities (RMBS) market and products is a plus.
Experience with C/C++ is a plus, as well as at least one of SAS/R/Python.
Excellent communication and writing skills.
Ability to work in a high-pressure environment and a good team player
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