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JPMorgan Chase & Co.
- London
- JPMorgan Chase & Co. - London
CIB – QR Fixed Income Financing – London
Title: Vice President, Quantitative Research
JPMorgan Fixed Income Financing Quantitative Research team is looking for a quant to support the business on pricing, risk and development of new models both derivatives and statistical based. Overall, the FIF QR team is responsible for developing and maintaining models for valuation, risk and P&L calculations for the rates and emerging market financing desks. The responsibilities of the team include new model specification, going through model approval, implementation of the model in our quant library, as well as integration into risk and PL systems.
Responsibilities:
The opportunity is to join our London front office desk quant team with a focus on structured repo pricing models and infrastructure.
Key responsibilities could include:
Develop pricing models for complex repo transactions
Develop statistical models to assist the desk in hedging, spread marking and predicting repo spread volatility.
Manage a quant and shared resource offshore on the FIF book of work
Enhance models in our C++ quant library and integrate in our risk system
Document and test new/existing models with traders and with other various control groups, such as the Model Review Group
Work closely with technology on the Integration and migration of pricing, risk, and p&l functionality in our risk system, Athena
Ongoing desk supportEducation required:
A Ph.D. in Math, Engineering, Computer science or in a numerate subject from a top academic institution is a plus, but not an absolute requirement.
Minimum requirement: Master’s degree or equivalent in said quantitative field.
Essential skills:
· Strong communication skills
· Strong maths background
· Good knowledge of options pricing theory, stochastic processes and probability theory
· Strong C++/Python skills
· Strong analytical and problem solving abilities
· A healthy interest in good software design principles
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.