JPMorgan Chase-posted 3 months ago
New York, NY
Credit Intermediation and Related Activities

As a Quantitative Research Analyst - Associate supporting the Rates Fixed Income Financing desk, you will be immersed in a dynamic working environment, supporting trading activity, pricing, risk-management on a diverse portfolio of complex and hybrid fixed income financing products. In additional to model development and implementation, we expect you to share in a balanced mixture of responsibilities, including support for and discussion with traders, model testing and documentation, model deployment, pricing and risk investigation, product-specific analysis, software and trading tool development.

  • Develop Data Analytics, Artificial Intelligence and Machine Learning models, approaches and techniques for fixed income finance trading.
  • Deliver analytics for historical back-testing and conduct 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.
  • Advanced degree (PhD, Master or equivalent) in Mathematics, Math Finance, Physics, Engineering or other quantitative fields.
  • 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.
  • Strong analytical and problem solving abilities.
  • Strong communication skills, both oral and written.
  • Knowledge or experience on interest rate modelling is a plus but not strictly required.
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