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CIB QR Quantitative Research Rates Modeling VP

2.00 to 5.00 Years   Mumbai City   07 May, 2019
JPMorgan
Job LocationMumbai City
EducationNot Mentioned
SalaryNot Disclosed
Industryanking / Financial Services
Functional AreaFinance / Accounts / TaxGeneral / Other Software
EmploymentTypeFull-time

Job Description

  • We are seeking a person to join the JP Morgan Quantitative Research team focused on Interest Rate and IR Hybrids business.
  • Relevant education would be in the area of Financial Mathematics, with focus on interest rate models, eq/fx models, and programming.
  • We expect the person to share in a balanced mixture of responsibilities, including model research and development, model documentation, pricing and risk investigation, product-specific analysis, software development and discussions with the trading desk.
Core Responsibilities:
  • Develop models and implement them in C++ / python for pricing and risk managing derivatives.
  • Rapid prototyping of models and products; benchmark and compare results of various techniques.
  • Explain model behavior and predictions to traders and controllers, identify major sources of risk in portfolios, carry out scenario analysis, provide guidance / debug analytics.
  • Write well-formulated documents of model specification and implementation testing.
Essential skills, experience and qualifications:
  • Strong software development and C++ / programming skills
  • Strong analytical and problem solving abilities
  • Excellence in probability theory, stochastic processes, partial differential equations, and numerical analysis
  • Good communication skills, both oral and written
  • Masters /PhD or equivalent degree from top tier schools/programs in Mathematics, Mathematical Finance, Physics or Engineering
Desirable skills / experience:
  • Interest rates / hybrids models
  • Knowledge of financial products, especially IR derivatives, IR exotics etc.
  • Python
,

Keyskills :
mathematicsmanualtestingrapidprototypingcommunicationjavaquantitativeresearchqlplsql

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