Quantitative Research – Rate – Associate
| Company | JP Morgan Chase |
|---|---|
| Location | New York, NY, USA |
| Salary | $Not Provided – $Not Provided |
| Type | Full-Time |
| Degrees | Master’s, PhD |
| Experience Level | Junior, Mid Level |
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. probability theory, stochastic calculus, partial differential equations, numerical analysis, optimization etc.
- Strong engineering/scientific programming skills in C++/Python.
- Strong analytical and problem solving abilities.
- Strong communication skills, both oral and written.
- Motivated to learn and genuine interest in Interest Rate Models.
Responsibilities
- Develop arbitrage-free financial models based on stochastic processes for pricing and risk management of interest rate derivatives.
- Implement and maintain C++/Python analytics library; write well-formulated documents on testing and validation of models for internal and regulatory reviews/approval.
- Deliver infrastructural 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.
Preferred Qualifications
- Knowledge or experience on interest rate modelling is a plus but not strictly required.