Quantitative Research - SPG - Vice President

JOB DESCRIPTION

This role sits within a high-performing quantitative modeling group focused on Residential Mortgage-Backed Securities (RMBS) and related structured products. The team is responsible for developing, maintaining, and enhancing advanced models and analytical tools that drive valuation, risk assessment, and market-making activities across the firm’s trading and risk management functions.

Job Summary:

As a Vice President in the Quantitative Research SPG team, you will play a pivotal role in supporting the Global Securitized Product Group (SPG) business. Your responsibilities will include leading the development, documentation, and enhancement of advanced quantitative models and analytical tools for SPG. You will collaborate with the business, risk, and model review teams to support proper model usage, maintain infrastructure, and provide expert guidance and training to users and clients.

Job Responsibilities: 

• Lead the development and maintenance of advanced models for valuation, risk assessment, profit and loss (P&L) calculations, as well as algorithms for quoting and market making, utilizing sophisticated mathematical approaches.
• Ensure comprehensive documentation of all new models to comply with firm-wide model risk policies and procedures.
• Design and implement analytical tools to monitor market conditions in Residential Mortgage-Backed Securities (RMBS), enhancing decision-making processes.
• Conduct data queries and processing for RMBS prepayment and credit modeling, ensuring high-quality data analysis at the loan or facility level.
• Investigate and develop new techniques to improve mathematical and computational efficiency within modeling processes.
• Ensure appropriate model usage across a diverse range of business users and risk functions, providing guidance and training as needed.
• Build and optimize a robust platform for large-scale data analysis to support various modeling initiatives.
• Develop a new model library focused on achieving desired computational efficiency and usability.
• Oversee the maintenance and enhancement of existing infrastructure used for valuing and hedging financial transactions.
• Work closely with risk and model review groups to ensure proper model usage, conduct model reviews, and implement effective risk controls.
• Provide support to internal and external clients regarding their model usage, addressing inquiries and facilitating training as needed.

Required qualifications, capabilities, and skills:

• 3+ years of experience at the Vice President level.
• Proficient in Python and C++ for developing analytical tools and models.
• Skilled in working within a Linux shell environment, utilizing shell scripting for automation and data processing.
• Extensive experience in data analysis focused on mortgage and loan performance datasets, specifically analyzing prepayment and credit historical data at the loan or facility level.
• Expertise in developing econometric models to assess financial performance and risk.
• Proficient in conducting Monte Carlo simulations for risk analysis and forecasting.
• Experienced in developing logistic regression models to predict binary outcomes based on historical data.
• Knowledgeable in developing factor models, including Principal Component Analysis (PCA) and hazard rate models.
• Proficient in using statistical Python packages such as NumPy, Pandas, and StatsModels for data manipulation and statistical analysis.

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.