Credit Portfolio Group
Senior Associate / VP
J.P. Morgan’s Global Quants Group in Mumbai was set up in 2013 as an extension of the Firm’s global quants teams around the world. It is a fast growing team covering multiple asset classes across geographies. It provides in-depth knowledge that is behind our Investment Banking, Structuring, Sales & Trading and Research businesses around the globe. Deeply integrated with our Investment Banking business, the team facilitates deals and transactions by providing vital research and insight.
This position is a Quant profile to support the activities of the Quantitative Research Group (cross asset classes) & Credit Portfolio Group globally sitting out in Mumbai. The QR team in Mumbai plays a critical role in providing effective, timely and independent assessments of the Firm’s booking models of exotic structures and also help in developing new models for structures as and when necessary.
This is an analytics development position within the Counterparty Credit Risk Quantitative Research group with a focus on Counterparty Risk models. The role affords the new team member opportunities to gain cross-asset experience in a wide range of business areas and its products and models, while contributing to the model development for business specific as well as bank-wide models.
The primary responsibilities for this role will include:
- Implementing a wide variety of software including: product payoffs, frameworks for pricing and risk management and pricing algorithms and models
- Supporting, upgrading, and debugging the software, partnering with other Quants, Traders, and Technologists
- Liaising with technology groups to deliver the analytics to systems for use by the business
Overall, the candidate will need to work closely with teams in Asia-Pacific and/or London and/or New York and will need to be proactive to improve desk efficiencies, access and learn J. P. Morgan’s highly sophisticated solutions.
- Knowledge of at least one of Python/C++
- Strong analytical and problem solving abilities.
- Good communication.
- Degree educated or equivalent in a technical discipline
- Strong C++ development skills in a numerical (scientific) programming setting.
- Strong C++ design skills
- Prior experience in Python an advantage
- Professional software development experience
- Experience in High-Performance Computing (eg grid computing, GPU)
- Knowledge of basic options pricing
- Knowledge of basic probability theory
- Banking experience is a distinct advantage
Additional information: while professional experience of option pricing is not essential, the successful candidate would be expected to have started preparatory study in this area.
Ideal candidates for these positions would be a graduate/post-graduate from a premier college or institute. A computer science or mathematics background will be most suitable.