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CIB QR – Quantitative Research, Rates Hybrid Models – Vice President

Req #: 180007158
Location: London, ENG, UK
Job Category: Accounting/Finance/Audit/Risk
Potential Referral Amount: 0 Pound Sterling (GBP)

We are seeking a person to join the JP Morgan Quantitative Research team focused on Interest Rates Hybrids.  We expect the person to share in a balanced mixture of responsibilities, including model research and development, model documentation, pricing and risk investigation, product-specific analysis, software development and discussions with the trading desk.  Depending on experience and background, initial projects could involve nonlinear and linear bond, ABS or inflation derivatives.


Core Responsibilities:

  • Develop models and implement them in C++/Python for pricing and risk managing derivatives.

  • Rapid prototyping of models and products; benchmark and compare results of various techniques.

  • Explain model behaviour and predictions to traders and controllers, identify major sources of risk in portfolios, carry out scenario analysis, provide guidance / debug analytics.

  • Write well-formulated documents of model specification and implementation testing.


Essential skills, experience and qualifications:

  • Strong software development and C++ skills
  • Strong analytical and problem solving abilities
  • Probability theory, stochastic processes, numerical analysis
  • Derivatives pricing models
  • Good communication skills, both oral and written


Desirable skills / experience:

  • Interest rates / hybrids models
  • Knowledge of financial products, especially inflation, bonds, ABS, hybrids, tradable indices
  • Python


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
JPMorgan Chase & Co. offers an exceptional benefits program and a highly competitive compensation package. JPMorgan Chase & Co. is an Equal Opportunity Employer.
Closing Date: April 5th 2018
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