DESCRIPTION:
Duties: Develop, deploy, and support production code and algorithms for electronic market making of agency Mortgage-Backed Securities (MBS) products in in-house systems. Support MBS trading desk by developing quantitative models, explaining model and algorithm behaviors, carrying out scenario analysis, developing and delivering quantitative tools, and supporting analytics. Develop, maintain, and enhance MBS models for valuation, risk management, PnL calculation, portfolio analytics, quoting and market making algorithms, and analytical tools of fixed income mortgage-related products in Securitized Products Group business. Conduct research to enhance real-time pricing algorithms and hedging strategies using machine learning and statistical modeling techniques. Perform large-scale data analysis on market moves and trade data to provide insights and solutions to data accuracy, trends, and limitations to assure robust model estimations. Perform mathematical and statistical analysis, and financial modeling for the development of the securitized products model with Python and SQL. Document models and end-to-end processes for pricing and risk analytics of Securitized Products Group products, and communicate with model review group, business users, and regulators to make models pass strict internal and regulatory standards and facilitate efficient model review and approval. Develop procedures for model calibration and conduct model performance tracking and analysis. Work closely with the technology team on the ongoing improvements to existing infrastructures, implementation of new model frameworks, and the integration of models in applications.
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QUALIFICATIONS:
Minimum education and experience required: Master's degree in Finance, Mathematics, Financial Engineering, Computational Finance, Statistics, or related field of study plus 3 years of experience in the job offered or as Quantitative Research, Mortgage Modeler, Securitized Products Strategy, or related occupation.
Skills Required: This position requires three (3) years of experience with the following: Python; securitized products modeling; conducting research and data analysis for the prepay and default behaviors on loan level and pool level using large mortgage performance datasets; and using data analytics packages including NumPy and pandas. This position requires one (1) year of experience with the following: C++; SQL or MySQL; coding in Linux batch scripting language; developing prepayment and default models for mortgages and mortgage- backed securities; generating multi-period projections based on complex market conditions using Monte Carlo Simulation analysis; developing logistic regression models; developing time series models; developing quantitative models; Python statistical modeling package including statsmodels, SciPy, and scikit-learn; Bloomberg Python APIs; Yieldbook Python APIs; supporting agency mortgage-backed securities trading desk by performing statistical analysis and building analytical tools; MBS market and MBS derivative products including to-be-announced (TBA) securities, specified pools, collateralized mortgage obligations (CMO), MBS derivatives, and mortgage servicing rights; eMBS data; 1010data.
Job Location: 383 Madison Avenue, New York, NY 10179.
Full-Time. Salary: $215,000 - $285,000 per year.
ABOUT US
JPMorganChase, one of the oldest financial institutions, offers innovative financial solutions to millions of consumers, small businesses and many of the world's most prominent corporate, institutional and government clients under the J.P. Morgan and Chase brands. Our history spans over 200 years and today we are a leader in investment banking, consumer and small business banking, commercial banking, financial transaction processing and asset management.
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. Additional details about total compensation and benefits will be provided during the hiring process.
We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. 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. Visit our FAQs for more information about requesting an accommodation.
JPMorgan Chase & Co. is an Equal Opportunity Employer, including Disability/Veterans
ABOUT THE TEAM
J.P. Morgan's Commercial & Investment Bank is a global leader across banking, markets, securities services and payments. Corporations, governments and institutions throughout the world entrust us with their business in more than 100 countries. The Commercial & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world.