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Form of work JobID: 210488813
Category: Associates
JobSchedule: Full time
Posted Date: 2024-03-06T23:48:44+00:00
JobShift:
Base Pay/Salary: New York,NY $135,000.00-$200,000.00
Quantitative Research (QR) is an expert quantitative modeling group in J.P. Morgan, as well as a leader in financial engineering, data analytics, statistical modeling and portfolio management. As a global team, QR partners with a diverse set of business teams across all products and regions, contributes to sales and client interaction, product innovation, valuation and risk management, inventory and portfolio optimization, electronic trading and market making, and appropriate financial risk controls.
The role involves developing Residential Mortgage-Backed Securities (RMBS) prepayment and interest rate models for various departments. The candidate will also collaborate with senior researchers and perform analytics for clients. As a member of the SPG Quant Research modelling team, you will join a core modelling team that is responsible for the development of RMBS prepayment and interest rate models for Trading desks within Commercial and Investment Bank, CIO and Home Lending Capital Markets. You will be collaborating with senior researchers on development of various models within RMBS group and performing analytics for internal and external clients. This is an exciting position for you to take on new challenges, work in a fast-paced on the Trading Floor.
Job Responsibilities:
* Development and support of mortgage prepayment models, interest rate models and other timeseries based models for Structured Products Group
* Provide risk analytics and technical documentation for models used in pricing Residential Mortgage Backed securities
* Build frameworks for simulation and optimization in Quantitative Research platform. Automate workflows and tools using high level programming languages such as C++ and Python to compute quantitative metrics used by the business.
* Reconcile data sources and build data pipelines to form a comprehensive data set fit for modeling and visualization, working closely with our researchers and technology partners
* Collaborate with technology representatives to ensure proper implementation of models and cash flow calculations
* Coordinate with Model Review, Model Governance and Market Risk professionals to address model related risks and issues
* Ensure appropriate adherence to Risk and Control policy and put appropriate risk mitigation in place
* Adapt communication style according to audience and occasion while being clear and unambiguous in conveying the message. Ability to influence and manage stake holders is a key
Required qualifications, capabilities and skills:
* Advanced degree (PhD, MSc or equivalent) in Mathematics, Physics, Statistics, Computer Science, Financial Engineering etc.
* A strong desire and familiarity to work with data and being comfortable in handling large datasets as well as building data pipelines
* Strong Python and C++ coding skills for model development
* Data analytics using open-source Python packages (pandas/NumPy/scikit-learn/TensorFlow)
* Strong communication skills (both verbal and written) and the ability to present findings to a non-technical audience
* A strong intellectual curiosity, and an interest in understanding various businesses within Structured Products Group
Preferred qualifications, capabilities and skills:
* Prior experience working in a Front office Quant team is a plus
* Hands-on experience in writing Production grade code in C++/Python is desirable
