As a Quantitative Research Analyst - Associate supporting Interest Rate Exotics desk, you will be immersed in a dynamic working environment, supporting trading activity, pricing, risk-management on a diverse portfolio of complex and hybrid interest rate structures.
In additional to model development and implementation, we expect you to share in a balanced mixture of responsibilities, including support for and discussion with traders, model testing and documentation, model deployment, pricing and risk investigation, product-specific analysis, software and trading tool development.
Job Responsibilities:
- Develop arbitrage-free financial models based on stochastic processes for pricing and risk management of interest rate derivatives.
- Implement and maintain C++/Python analytics library; write well-formulated documents on testing and validation of models for internal and regulatory reviews/approval.
- Deliver infrastructural analytics for historical back-testing and conduct research on market behaviors through statistical analysis.
- Provide on-site support to traders, control functions and other relevant teams: explain model behaviors and Profit and Loss (pnl)-prediction at request; conduct quick diagnosis on any reported model issue; identify major sources of risks in portfolio; carry out scenario analysis; facilitate new business/product structures, etc.
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Required Qualifications, Capabilities and Skills:
- Advanced degree (PhD, Master or equivalent) in Mathematics, Math Finance, Physics, Engineering or other quantitative fields.
- Good understanding on advanced mathematical topics, e.g. probability theory, stochastic calculus, partial differential equations, numerical analysis, optimization etc.
- Strong engineering/scientific programming skills in C++/Python.
- Strong analytical and problem solving abilities.
- Strong communication skills, both oral and written.
- Motivated to learn and genuine interest in Interest Rate Models.
Preferred Qualifications, Capabilities and Skills:
- Knowledge or experience on interest rate modelling is a plus but not strictly required.
ABOUT US
JPMorganChase, one of the oldest financial institutions, offers innovative financial solutions to millions of consumers, small businesses and many of the world's most prominent corporate, institutional and government clients under the J.P. Morgan and Chase brands. Our history spans over 200 years and today we are a leader in investment banking, consumer and small business banking, commercial banking, financial transaction processing and asset management.
We offer a competitive total rewards package including base salary determined based on the role, experience, skill set and location. Those in eligible roles may receive commission-based pay and/or discretionary incentive compensation, paid in the form of cash and/or forfeitable equity, awarded in recognition of individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more. Additional details about total compensation and benefits will be provided during the hiring process.
We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. We also make reasonable accommodations for applicants' and employees' religious practices and beliefs, as well as mental health or physical disability needs. Visit our FAQs for more information about requesting an accommodation.
JPMorgan Chase & Co. is an Equal Opportunity Employer, including Disability/Veterans
ABOUT THE TEAM
J.P. Morgan's Commercial & Investment Bank is a global leader across banking, markets, securities services and payments. Corporations, governments and institutions throughout the world entrust us with their business in more than 100 countries. The Commercial & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world.