CIB - Risk - Quantitative Research - Rates and Long Date FX - VP - Hong Kong
Location: HK-Hong Kong-Hong Kong-Chater House / 03761
JPMorgan Chase & Co. (NYSE: JPM) is a leading global financial services firm with assets of $2.4 trillion and operations worldwide. The firm is a leader in investment banking, financial services for consumers and small businesses, commercial banking, financial transaction processing and asset management. A component of the Dow Jones Industrial Average, JPMorgan Chase & Co. serves millions of consumers in the United States and many of the world’s most prominent corporate, institutional and government clients under its J.P. Morgan and Chase brands.
We are seeking a person to join the JP Morgan Quantitative Research team in Hong Kong focused on Interest Rate Hybrids and FX derivatives. Relevant education would be in the area of Financial Mathematics, with focus on interest rate models, 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.
- Develop models and implement them in C++ for pricing and risk managing derivatives.
- Rapid prototyping of models and products; benchmark and compare results of various techniques.
- Explain model behaviour 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.
- PhD or equivalent degree from top tier schools/programs in Mathematics, Mathematical Finance, Physics or Engineering
- At least four years of prior experience in a similar quantitative model development role
- Excellence in probability theory, stochastic processes, partial differential equations, and numerical analysis
- In-depth knowledge of financial products
- Strong software development and C++ and Python programming skills
- Strong analytical and problem solving abilities
- Good communication skills, both oral and written
- Asset Allocation
- C (Programming Language)
- Computer Programming
- Quantitative Finance
- Research and Development
- Software Development