CIB QR - Quantitative Support for Linear Rates Trading Business – Vice President CIB QR - Quantitative Support for Linear Rates  …

J.P.Morgan
in New York, NY, United States
Permanent, Full time
Last application, 15 Aug 19
Competitive
J.P.Morgan
in New York, NY, United States
Permanent, Full time
Last application, 15 Aug 19
Competitive
CIB QR - Quantitative Support for Linear Rates Trading Business – Vice President
JPMorgan Chase & Co. (NYSE: JPM) is a leading global financial services firm with assets of $2.7 trillion and operations worldwide. The firm is a leader in investment banking, financial services for consumers and small business, commercial banking, financial transaction processing, and asset management. A component of the Dow Jones Industrial Average, JPMorgan Chase & Co. serves millions of consumers in the United States and many of the world's most prominent corporate, institutional and government clients under its J.P. Morgan and Chase brands.

Job Summary:
This is a mid-level (2-5 yrs. experience minimum) model and product development role within the highly material NA Linear (Securities, Swaps and FX Forwards) trading business at JP Morgan. The role requires significant experience in state-of-the-art yield curve construction approaches (overnight index swaps, central counterparty basis, CSA discounting, varying liquidity in overlapping market segments)

Core Responsibilities:

  • Develop, implement (C++/Python), tests and document Linear Rates models for pricing and risk managements of Rates derivatives.
  • Perform and assist Trading and Control groups with pricing, risk management, P&L, and model behavior. Carry out scenario and benchmarking analysis.
  • Develop and collaborate with IB Technology in new technology and enhancement to support trading and risk management capabilities in electronic, systematic and relative value space


Essential skills, experience, and qualifications:


  • PhD, MS or equivalent degree from top tier schools/programs in Mathematics, Mathematical Finance, Statistics, Physics, Computer Science or Engineering
  • Proven track record in collaborative software development in Python and C++
  • Excellence in probability theory, partial differential equations, and numerical analysis
  • Knowledge and work experience in Rates financial products and yield curve construction methods
  • Attention to detail, adaptable and hungry to learn
  • Excellent communication skills, both oral and written


Desirable skills:
  • Experience in rapid prototyping and agile software methodologies
  • Experience in working with and manipulating large data sets of e-commerce, historical and financial data
  • Experience working with ECNs
  • Experience in micro service architecture, distributed computation and database technologies
  • Experience in leading and developing small team


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