If you are passionate, curious, and ready to make an impact, we are looking for you.
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 high grade bonds/CDS, high yield bonds/CDS, distressed bonds, indices, options, correlation products, and more exotic structures.
We are looking for experienced Quant to join the Credit Quantitative Research team which will focus on covering the High Touch Credit business.
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 responsibilities:
The opportunity is to join our London team, with a focus on pricing models. The role will span all aspects of QR coverage, but we expect, at least initially, that it will mainly focus on real-time pricing analytics for flow derivatives.
- Develop and maintain our real-time pricing infrastructure for single name CDS and credit indices.
- Develop auxiliary analytics to highlight relative-value signals, measure liquidity and explain flows.
- Liaising with trading in EMEA (London and Paris), and especially with individual operators in order to ensure that their needs are properly captured in our book of work
- Ensure that all the ideas are documented, and either directly implement the solutions we propose or liaise with the broader team in order to achieve this
- Writing model documentation compliant with internal and regulatory standards
- Working with model control teams to facilitate timely and efficient review and approval of models
Required qualifications, capabilities, and skills:
The role will be operating in a very dynamic environment which can be occasionally undergo some pressure due to situations developing in the market. This role is also expected to interact a lot with other sub-teams within Credit QR.
- An advanced degree in math, statistics, physics, financial engineering, computer science
- You demonstrate of a good knowledge of the credit or at least the fixed income business, a very structured mathematical approach to problem solving, as well as knowledge about the software development process
- You bring prior knowledge of quantitative modeling and risk neutral pricing, you demonstrate an exceptional analytical, quantitative and problem-solving skills
- You bring a strong software design and data science skills, preferably with some C++ and Python knowledge and experience
- You demonstrate prior experience and knowledge of vanilla credit derivatives, index options and algo pricing techniques
- Excellent oral communication skills are required in our interaction with trading, technology, and control functions. Excellent written communication skills are required for meeting the high standards of the model documentation
- You demonstrate a pro-active attitude, should have a natural interest to learn about our business, models, and infrastructure, ability to work in a high-pressure environment and attention to detail and focus on quality of deliverable
Preferred qualifications, capabilities and skills:
- A Ph.D. or equivalent in a numerate subject from a top academic institution is a plus, but not an absolute requirement
- Team player attitude
- Knowledge of flow credit derivatives pricing