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CIB QR - Quantitative Research - Valuation Control Group - Associate - Mumbai

Req #: 180036114
Location: Mumbai, MH, IN
Job Category: Sales/Trading/Research
Job Description:
Quant Research
Valuation Control 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) & Valuation Control 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 role in particular will be the lead role for managing a team of Quants who will be dedicated to work on the QR agenda for Valuation Control Group. Valuation Control Group is a firm wide control function, independent of the “Front Office” whose responsibilities include independent price verification and determination of pricing and fair value adjustments required to ensure that fair value estimates for the assets and liabilities that are recorded on the balance sheet at fair value are appropriate. 
The primary responsibilities for this role will include:
  • Documentation and Compliance: Familiarity with internal and regulatory guidelines on Model assessment and Documentation; Support the VCG team in all topics related to model agenda
  • Model/Tool Development: Build calibration tools for price testing, tools to calculate model limitation adjustments, tools to analyze price dynamics of actual transactions on a cumulative and real time basis for use against independent prices etc.  
  • Thought Leadership/Methodology: Work alongside VCG to devise and implement sophisticated and consistent methodology for solving business problems including but not restricted to position netting for use in calculation of valuation adjustments, VA stress for use within CCAR framework etc.
  • Programming: Experience in working / creating customized C++ libraries/Python will be a plus. 
  • Software Engineering: Duties including the full-range of programming tasks – problem analysis, solution determination, code design and development, integration, test, modification and documentation
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.
Essential Skills:
  • Highly analytical bent of mind and quantitative skills; 
  • Good verbal and written communication and team skills in a multi-location set up
  • Strong understanding of financial products – their valuations and risks associated with them
  • Knowledge of C++/Python will be a plus
  • Close attention to detail and ability to work to very high standards
  • Relevant experience of at least 7-8 years in similar roles in Quant Research and Model Development will be an advantage
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.
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