Quantitative Research - Credit Treasury - Chief Investment - Associate

Treasury/CIO oversees a $600Bn global fixed income investment portfolio used to manage the Firm's interest rate and currency exposure. The portfolio comprises a wide range of fixed income products, including asset-and-mortgage backed securities, municipal bonds, and government securities. The Treasury/CIO team manages the risk emanating from this investment portfolio as well as "other" Corporate businesses (Firm-wide Pension Plan, Insurance programs, and Mortgage Servicing Rights).

The Credit QR team is responsible for developing and maintaining models for valuation, risk, PL calculations, as well as quoting and market making algorithms and analysis tools for the Global Spread business. The responsibilities of the team span the full range from new model specification, going through model approval, ensuring compliance with internal policies and industry regulations, implementation of model in library, to integration into risk and PL systems.

Job summary:

The opportunity is to join our New York Credit QR team, with a focus on Treasury and Chief Investment Office coverage. This involves adapting and creating pricing models and infrastructure for municipal bonds and corporate bonds. The role is spanning all aspects of QR coverage, from the mathematical modelling to the development of model evaluation platforms in our risk system.

Job responsibilities:

• Developing and improving models for the pricing and risk management of corporate bonds, municipal bonds and related derivatives and inter-company transactions
• Writing model documentation compliant with internal and regulatory standards
• Working with model control teams to facilitate timely and efficient review and approval of models
• Liaising with business functions as well as other quantitative research and control teams
• Explaining model behavior, carrying out scenario analyses, developing and delivering quantitative tools, and supporting analytics

Required qualifications, capabilities, and skills:

The role requires the combination of very strong software development skills, a very structured mathematical approach to problem solving, business overview, and the ability to work in a dynamic environment. Prior knowledge of quantitative modeling and risk neutral pricing is a plus, but not an absolute requirement. Excellent oral communication skills are required in our interaction with trading, technology, and control functions. Excellent written communication skills are also required for meeting the high standards of the model documentation. A strong interest in good software design principles is a requirement as well. A Ph.D. in a numerate subject from a top academic institution is a plus, but not an absolute requirement.

• An advanced degree in math, statistics, physics, financial engineering, computer science or other quantitative fields
• Exceptional analytical, quantitative and problem-solving skills
• Excellent written and oral communication and interpersonal skills
• Knowledge of fixed income markets, in particular credit products and models, is a plus, but is not a strict requirement.
• Prior experience and knowledge with option pricing theory, in particular Bermudan/American option, swaption, callable bond is a plus
• Strong software design and development skills, preferably with some C++ and Python knowledge and experience
• Pro-active attitude. Should have a natural interest to learn about our business, models, and infrastructure.

Preferred qualifications, capabilities, and skills:

• Ability to work in a high-pressure environment
• Attention to detail and focus on quality of deliverables
• Graduate/post-graduate from a premier college or institute. A computer science or mathematics background will be most suitable.

J.P. Morgan's Global Quants Group provides a challenging work environment and excellent opportunities to learn and grow both at the Quants Group and in the Firm's global network.