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Quantitative Research - Credit & Securitized Products Group - Analyst or Associate

JP Morgan

Location: Greater London

Job Type: Full time


Job Summary:

J.P. Morgan has the leading Global Spread business in terms of volume traded, issuers traded and investor relationships. The Spread business covers Credit, SPG, and Public Finance Markets. J.P. Morgan Global Spread Trading offers first-class, highly integrated financial services to a global client base and provides financial assets and liquidity for banks, insurance companies, finance companies, mutual funds and hedge funds. Traders, salespeople and research analysts work collectively to generate ideas. The Credit business make secondary markets in CLOs, high grade bonds/CDS, high yield bonds/CDS, distressed bonds, indices, options, correlation products, and more exotic structures. The Securitized Products Group (“SPG”) engages in origination, syndicate, sales & trading, financing, and principal investments activities. Asset classes include: mortgage-backed securities (commercial, residential, agency and non-agency), mortgage loans, consumer asset-backed securities and receivables (auto, credit card, student, equipment loans).

The Credit and SPG QR team is responsible for developing and maintaining models for valuation, risk, P&L 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, implementation of model libraries, to final integration into risk and P&L systems.

The opportunity is to join our London team to support European and Asian structured products, including model development, maintenance, evaluation, and integration into risk and P&L infrastructure for the SPG business. The global team also focuses on US commercial mortgages and securities (CMBS) as well as collateralized loan obligations (CLO), and there is an opportunity to collaborate in all areas.

Job responsibilities:

  • Develop, maintain, and enhance models for the Securitized Products Group (“SPG”) business, as well as for other parts of our mortgage businesses such as CIO and Mortgage Banking
  • Document models to pass strict regulatory and in-house standards maintained by model review groups
  • Model performance tracking and regulatory analysis
  • Work closely with technology on integration of models in applications
  • Develop and deliver quantitative tools and supporting analytics
  • Support trading activities by explaining model and algorithm behavior, carrying out scenario analysis

Required qualifications, capabilities, and skills:

We are seeking candidates to fill a modeling role in the QR Securitized Product Group modeling team. A successful candidate needs to demonstrate their ability to solve complicated modeling problems.

  • Strong mathematical, statistical, and financial modeling skills
  • C/C++ and Python coding
  • Applying Machine Learning algorithms
  • Ability to work in a high-pressure environment and a good team player
  • Excellent communication and writing skills

Preferred qualifications, capabilities, and skills:

  • Advanced degree (PhD, MSc or equivalent) in Mathematics, Physics, Finance or other quantitative field
  • Understanding of structured product markets (ABS/CMBS/RMBS/CLO)