Quantitative Strategist

DESCRIPTION:

Duties: Operate JPMC's retirement plan group's risk analytics system and further develop tools used in the system.

Aggregate liability duration, convexity, and credit risk metrics and develop effective interest rate hedging strategies.

Liaise with the group's actuary to assess impacts of actuarial assumptions on the group's liability and update liability models accordingly.

Utilize quantitative investment and data science techniques to develop and implement optimization and asset allocation strategies across fixed income, equity, and other asset classes for the Retirement Plan and BOLI/COLI portfolios.

Work on projects and studies to be presented to senior management.

Explore application of AI and machine learning techniques.

Generate monthly and quarterly portfolio analytics, including factor-based attribution.

Conduct research to assist in developing macro and asset class views.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Quantitative & Computational Finance, Finance, economics, mathematics, statistics or related field of study plus 1 year of experience in the job offered or as Quantitative Strategist, Portfolio Manager, Complex Securities Valuation, or related occupation.

Skills Required: This position requires one (1) year of experience with the following: Processing, manipulating, analyzing, and interpreting large datasets using Python (including Numpy, Scipy and Pandas), and MATLAB; Designing and developing interactive Excel templates with advanced functionalities including lookup, data analysis add-ons, and VBA; Identifying process improvement opportunities and automating manual workflows using Python; Performing statistical analysis using machine learning methods including linear regression, logistic regression, classification techniques and predictive modeling; option pricing techniques using Black-Scholes model, Monte Carlo simulation and binomial tree models; assessing and managing the risks associated with fixed income securities, including interest rate risk and credit risk; utilizing portfolio construction theory, portfolio optimization, and global macroeconomics and financial market dynamics to assist senior team members in making allocation decisions.

Job Location: 277 Park Avenue, New York, NY 10172.

Full-Time.

Salary: $147,600 - $235,000 per year.

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 commissi...