J.P. Morgan Global Credit Trading needs to develop and maintain models for pricing, risk management, and P&L analytics for the Macro Credit business, with a focus on non-linear credit products like index options and tranches. The team aims to modernize trading and risk infrastructure, enhance performance, and automate manual processes.
Requirements
- Proficiency in Python or C++, with experience in collaborative software development in a fast-paced environment.
- Deep understanding of financial mathematics and stochastic calculus; experience with volatility and correlation modeling is highly desirable.
- Experience with neural networks, machine learning, deep learning models, or large language model tuning is preferred but not required.
Responsibilities
- Develop and deliver pre-trade quantitative analytics to support trading decisions and client engagement, with emphasis on index options and tranches.
- Modernize trading and risk infrastructure in partnership with technology teams, enhancing performance and robustness of risk and P&L attribution, and facilitating the decommissioning of legacy systems.
- Advance pricing models to enable comprehensive scenario analysis and default risk assessment.
- Collaborate with trading teams to conduct agile quantitative research in response to evolving market themes.
- Drive automation initiatives by transforming manual processes into digital solutions.
- Prepare technical model documentation in accordance with internal and regulatory standards, and work with model control teams to support timely reviews and approvals.
Other
- 3+ years of experience as a quantitative researcher or strategist in credit or fixed income markets, with strong analytical and problem-solving skills.
- Advanced degree in one of the following, mathematics, statistics, physics, financial engineering, computer science.
- Strong teamwork orientation and excellent communication skills, with the ability to engage effectively with business stakeholders, technology partners, and control functions.
- Ability to perform in a high-pressure, results-driven environment with meticulous attention to detail.
- Strong commercial acumen, agility in prototyping, and a high level of ownership and accountability.
