JPMorganChase is looking to solve the problem of supporting trading activity, pricing, and risk-management on a diverse portfolio of complex and hybrid fixed income financing products.
Requirements
- Good understanding on advanced mathematical topics, e.g. statistics, linear algebra, numerical analysis, probability theory, stochastic calculus, partial differential equations etc.
- Strong engineering/scientific programming skills in C++/Python.
- Knowledge or experience on interest rate modelling is a plus but not strictly required.
- Advanced degree (PhD, Master or equivalent) in Mathematics, Math Finance, Physics, Engineering or other quantitative fields.
- Strong analytical and problem solving abilities.
- Strong communication skills, both oral and written.
- Data Analytics, Artificial Intelligence and Machine Learning models, approaches and techniques
Responsibilities
- Develop Data Analytics, Artificial Intelligence and Machine Learning models, approaches and techniques for fixed income finance trading.
- Deliver analytics for historical back-testing and conducat research on market behaviors through statistical analysis.
- Provide on-site support to traders, control functions and other relevant teams: explain model behaviors and Profit and Loss (pnl)-prediction at request; conduct quick diagnosis on any reported model issue; identify major sources of risks in portfolio; carry out scenario analysis; facilitate new business/product structures, etc.
- Implement and maintain C++/Python analytics library; write well-formulated documents on testing and validation of models for internal and regulatory reviews/approval.
- Develop and maintain arbitrage-free financial models based on stochastic processes for pricing and risk management of interest rate derivatives.
- Support for and discussion with traders, model testing and documentation, model deployment, pricing and risk investigation, product-specific analysis, software and trading tool development.
- Share in a balanced mixture of responsibilities
Other
- Advanced degree (PhD, Master or equivalent) in Mathematics, Math Finance, Physics, Engineering or other quantitative fields.
- Strong communication skills, both oral and written.
- We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success.
- We are an equal opportunity employer and place a high value on diversity and inclusion at our company.
- We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law.
