Quantitative Research Analyst

JPMorgan Chase • New York, NY

153d

About The Position

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.

Requirements

• 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.

Nice To Haves

• Knowledge or experience on interest rate modelling is a plus but not strictly required.

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 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.

What This Job Offers

• Industry: Credit Intermediation and Related Activities
• Education Level: Master's degree