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Company Chase & Co. (NYSE: JPM) is a leading global financial services firm with assets of $2.5 trillion and operations worldwide. The firm is a leader in investment banking, financial services for consumers and small business, commercial banking, financial transaction processing, and asset management. A component of the Dow Jones Industrial Average, Company 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 Company and Chase brands. Information about Company Chase & Co. is available at Company website.
Duties: Conduct continual market surveillance in the MBS structured finance and structured finance derivatives space. Analyze and extract relevant market information and trends based on a deep understanding of the structured finance markets using industry standard tools such as Bloomberg, Intex, Microsoft Excel, Microsoft Access, VBA, SQL, Yieldbook, Python or other cashflow and data analytic tools. Distinguish relevant and important information and trends from large mortgage data set sources and how they affect securities valuation through the use of various programming tools. Maintain and update various python and VBA scripts which implement daily valuation control measures. Utilize statistical knowledge and a detailed understanding of deal and cashflow structures to extract summary information based on various sub sectors of each market to determine pricing inputs and controls. Enhance, and maintain existing pricing methodologies, matrices, and tools. Lead the end-to-end development, and testing, of a new quantitative mortgage derivative pricing framework based on statistical and market information; discussions with market participants, back-testing, interactions with PricingDirect and Company technology teams. This includes defining and implementing various quality controls and procedures to ensure the accuracy of both data input and output. Communicate with technology support teams to improve or troubleshoot valuation or control processes. Communicate regularly with market participants (including front office personnel such as portfolio managers, risk managers and trading desks) on all aspects of daily pricing and the challenge process.
Minimum education and experience required:Master’s degree or equivalent in Economics, Finance, Mathematics, Engineering (any), or related quantitative field plus five (5) years of experience in structured fixed income derivatives valuation and financial research, or related experience ORBachelor’s degree or equivalent in Economics, Finance, Mathematics, Engineering (any), or related quantitative field plus seven (7) years of experience in structured fixed income derivatives valuation and financial research, or related experience.
*Skills required:Experience with valuation of agency residential mortgage backed security (“RMBS”). Experience performing cashflow analysis of structured RMBS. Experience with programming in Excel VBA. Experience with programming in Python. Experience managing client relationships. Knowledge of valuation of fixed income securities. Knowledge of valuation of fixed income derivatives. Financial modeling experience. Knowledge of financial market risk and controls. Experience programming with large data sets. Employer will accept any amount of professional experience with the required skills.
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