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CIB QR - Quantitative Research Linear Rates - VP

Req #: 170083342
Location: New York, NY, US
Job Category: Accounting/Finance/Audit/Risk
Job Description:
We are seeking a person to join the JP Morgan Quantitative Research team focusing on the risk/technology initiatives of the asset management group. Relevant education/experiences would be in the area of financial mathematics, with emphasis on interest rate/credit/fx models & products, and programming. We expect the person to share in a balanced mixture of responsibilities including model research/development/documentation, pricing & risk investigation, software development and discussions with the asset managers/traders as well as technology/risk managers/reviewers/auditors, etc.
  • Develop and implement pricing model and risk management infrastructure in C++ and Python for Linear Rates Derivatives business
  • Rapid prototyping of models and products; benchmark and compare results of various techniques
  • Explain model behavior and predictions to traders and controllers, identify major sources of risk in portfolios, carry out scenario and benchmarking analysis, provide guidance / debug analytics
  • Develop new technology to support Linear Rates trading and risk management
Essential Skills and Qualifications:
  • PhD, MS or equivalent degree from top tier schools/programs in Mathematics, Mathematical Finance, Statistics, Physics, Computer Science, or Engineering
  • Knowledge and work experience in Rates financial products
  • Knowledge and work experience in advanced yield curves construction techniques and methods a plus
  • Strong software development; Python and C++ skills
  • Excellent communication skills, both oral and written
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