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CIB QR - Credit & SPG QR - Associate / VP

Req #: 180025048
Location: New York, NY, US
Job Category: Accounting/Finance/Audit/Risk
Potential Referral Amount: 5000 US Dollar (USD)
About J.P. Morgan
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.
Our business
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).
Our team
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 mortgage prepayment and default models, including model development, maintenance, evaluation, and integration into risk and PL infrastructure for the SPG business.
Key responsibilities include:
  • Development/Maintenance/Enhancement of mortgage models for the SPG business, as well as for other parts of our mortgage businesses such as CIO and Mortgage Banking.
  • Communicating with Model Review Groups in order to make models pass strict in-house standards, in particular document models and end-to-end processes for pricing and risk of SPG products to live up to both regulatory and in-house requirements.
  • Model performance tracking and analysis, and regulatory analysis
  • Working closely with technology on integration of models in applications
  • Supporting trading activities by explaining model and algorithm behavior, carrying out scenario analysis, developing and delivering quantitative tools, and supporting analytics
The role requires the combination of critical and analytical problem solving skills, experience with quantitative modeling and risk neutral pricing, business overview, and the ability to work in a dynamic environment. Excellent communication skills are required in our interaction with trading, technology, and control functions. Prior experience with mortgage modelling is a plus. A Ph.D. in a numerate subject from a top academic institution is also a plus, but not an absolute requirement.
Essential skills:
  • Very strong mathematical, statistical, and financial modeling skills.
  • C/C++ coding experience is required, as well as prior experience with Python, SAS, or R.
  • Ability to work in a high-pressure environment and a good team player.
  • Understanding of mortgage markets is a plus, in particular securitized products (RMBS/CMBS/ABS) market. 
  • Professional communication and writing skills.
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