Duties: Perform portfolio management, including implementing the investment process and executing trades across credit derivatives, equity derivatives, volatility products, corporate bonds, equities, and ETFs to achieve high risk-adjusted returns. Work closely with the CIOs and the risk and portfolio construction team to develop strategies and standardize procedures and methodologies for the investment process, incorporating advanced quantitative modeling, statistical analysis, and systematic backtesting. Identify, assess, and monitor risks, ensuring that the firm's risk models accurately capture the portfolio's inherent risks, and apply rigorous model validation and scenario analysis. Build and maintain relationships with counterparties, including credit, credit derivative, and equity volatility trading desks, to gather and filter their cross-asset and macro research and ideas, enhancing the firm's internal investment process. Monitor and provide daily updates on portfolio performance, utilizing real-time risk and performance dashboards, and participate in weekly meetings to discuss strategy developments and risk profile with the CIOs. Collaborate with technology and operations teams to develop and continuously enhance tools and applications for data acquisition, analytics, and reporting, enabling the portfolio to scale in terms of positions and capital managed. Assist in broadening and expanding the investment mandate to include a larger presence in macro markets, investment grade and high yield credit, CDS and CDX, and equity derivative trading.
QUALIFICATIONS:
Minimum education and experience required: Bachelor's degree in Mathematics of Finance, Financial Engineering, Mathematics, Computer Science, or related quantitative field of study plus seven (7) years of experience in the job offered or as Cross Capital Structure Trader, Quantitative Analyst, Quantitative Researcher, or related occupation.
Skills Required: This position requires six (6) years of experience with the following skills: financial engineering; derivative pricing; stochastic simulations including Monte Carlo sampling; optimizations; statistical market modeling including generalized linear models; machine learning; object-oriented programming; data warehousing; data visualization; and programming languages including Python, C++ or C#, MATLAB, Java, Excel VBA, JavaScript, and SQL. This position requires five (5) years of experience with the following skills: developing and validating financial models for fair value estimation, carry and rolldown analysis, scenario analysis, and risk assessment; pricing derivative instruments including options and swaps; applying statistical modeling techniques to construct, optimize, and validate quantitative trading strategies; utilizing Python including numpy, pandas, statsmodels, and scikit-learn to implement statistical models; automating data acquisition; cleaning and structuring large-scale datasets; performing feature engineering; conducting backtesting and model stability analysis; building and maintaining risk and performance dashboards using Python visualization libraries including matplotlib and Plotly; building and maintaining risk and performance dashboards using SQL; designing and maintaining Tableau dashboards for portfolio monitoring, performance reporting, and risk visualization; communicating analytical findings to a non- technical audience; and liaising with portfolio managers, risk teams, and technology groups in a trading environment. This position requires three (3) years of experience with the following skills: credit derivative, equity derivative, and volatility trading including direct management of single-name and index credit default swaps, equity options, index futures, and volatility-linked derivatives; and structuring, executing, and monitoring trades across corporate bonds, equities, ETFs, and cross-asset relative value strategies.
Job Location: 390 Madison Avenue, New York, NY 10017
Full-Time. Salary: $250,000 - $250,000 per year.
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.
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JPMorgan Chase & Co. is an Equal Opportunity Employer, including Disability/Veterans
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