Securities Valuation [Multiple Positions Available]

JPMorgan Chase & Co. • New York, NY

15h • Onsite

About The Position

Duties: Evaluate interest rate derivatives products, including swaps, swap options, caps and floors across multiple real-time market snapshots and global currencies. Oversee the team's cross currency swap valuation on all new positions and amendments. Perform market color validation for standard and exotic trades. Analyze cross currency basis spread for global currency pairs. Address client requests for customized position including amortization, non-standard cashflow schedule, and different CSA requirements. Develop data analysis tools for low-liquidity market instruments, including outlier data validation for thinly traded cross currency basis pairs and non-deliverable swap currencies. Analyze trade economics and pricing characteristics of instruments, including cash flow projections, sensitivity analysis, risk analysis, and comparative assessments of model inputs and outputs. Research and build new rates products in collaboration with quantitative research and technology teams to onboard new exotic interest rate derivatives offerings. Model central bank decisions and rates linked to key policy meetings to enhance short-term rates projection and better align valuation with market anticipation. Engage in client meetings, due diligence calls, and conferences. Communicate with clients regarding valuation processes, pricing methodologies, and new product offerings to enhance market coverage. Onboard pricing of Libor fallback methodologies according to the Libor decommission schedule for global currencies. Collaborate with the trading desk and quantitative research teams on macroeconomic developments, market validation, new feature coverage, and pricing model upgrades. Continuously monitor market activity and financial news throughout the trading day to ensure that interest rate derivatives curves and volatility data accurately reflect current market conditions. Define and implement robust quality control protocols for inputs and outputs of quantitative models to ensure pricing integrity and reliability. Orchestrate testing and onboard pricing analytics upgrades in collaboration with quantitative research and application developers.

Requirements

• Master's degree in Quantitative Finance, Mathematics, Economics, or related field of study plus 3 years of experience in the job offered or as Securities Valuation, Financial Analyst, Investment Analyst, Pricing Analyst, or related occupation. The employer will alternatively accept a Bachelor's degree in Quantitative Finance, Mathematics, Economics, or related field of study plus 5 years of experience in the job offered or as Securities Valuation, Financial Analyst, Investment Analyst, Pricing Analyst, or related occupation.
• Evaluating, analyzing, and modeling interest rate derivatives, including vanilla and non-linear exotic products, using stochastic calculus, option pricing models, option Greeks, futures, term structure, and volatility modeling
• Designing, implementing, and automating analytical programs within datasets using Python and VBA
• Conducting research and back-testing on new features and parameters of business software including trading and pricing platforms, analytical engines, and automation tools
• Maintaining consistency of business outputs throughout the lifecycle of platform upgrades
• Maintaining the accuracy of expected outcomes of feature platform releases
• Analyzing, validating, and replicating trade setups and sourcing market data instrument quotes using financial data platforms including Bloomberg and Reuters
• Evaluating derivatives' value and risk profiles based on global monetary policy updates, macroeconomic conditions for global interest rate markets, yield curve implications, and rates sensitivities
• Developing and implementing guidelines for daily workflow and quality assurance throughout the production cycle including quantitative validation, comparative market analysis, and report automation
• Articulating quantitative metrics, the evaluation process of derivatives instruments, and overall criteria of business deliverables to stakeholders.

Responsibilities

• Evaluate interest rate derivatives products, including swaps, swap options, caps and floors across multiple real-time market snapshots and global currencies.
• Oversee the team's cross currency swap valuation on all new positions and amendments.
• Perform market color validation for standard and exotic trades.
• Analyze cross currency basis spread for global currency pairs.
• Address client requests for customized position including amortization, non-standard cashflow schedule, and different CSA requirements.
• Develop data analysis tools for low-liquidity market instruments, including outlier data validation for thinly traded cross currency basis pairs and non-deliverable swap currencies.
• Analyze trade economics and pricing characteristics of instruments, including cash flow projections, sensitivity analysis, risk analysis, and comparative assessments of model inputs and outputs.
• Research and build new rates products in collaboration with quantitative research and technology teams to onboard new exotic interest rate derivatives offerings.
• Model central bank decisions and rates linked to key policy meetings to enhance short-term rates projection and better align valuation with market anticipation.
• Engage in client meetings, due diligence calls, and conferences.
• Communicate with clients regarding valuation processes, pricing methodologies, and new product offerings to enhance market coverage.
• Onboard pricing of Libor fallback methodologies according to the Libor decommission schedule for global currencies.
• Collaborate with the trading desk and quantitative research teams on macroeconomic developments, market validation, new feature coverage, and pricing model upgrades.
• Continuously monitor market activity and financial news throughout the trading day to ensure that interest rate derivatives curves and volatility data accurately reflect current market conditions.
• Define and implement robust quality control protocols for inputs and outputs of quantitative models to ensure pricing integrity and reliability.
• Orchestrate testing and onboard pricing analytics upgrades in collaboration with quantitative research and application developers.

Benefits

• We offer a competitive total rewards package including base salary determined based on the role, experience, skill set and location.
• Those in eligible roles may receive commission-based pay and/or discretionary incentive compensation, paid in the form of cash and/or forfeitable equity, awarded in recognition of individual achievements and contributions.
• We also offer a range of benefits and programs to meet employee needs, based on eligibility.
• These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more.
• 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.
• We also make reasonable accommodations for applicants’ and employees’ religious practices and beliefs, as well as mental health or physical disability needs.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level