What are the responsibilities and job description for the Quantitative Research - RMBS Desk Strategy - Vice President position at JPMorgan Chase?
Join our dynamic team as a Desk Strategist for the RMBS Desk, where you'll play a pivotal role in shaping the future of our multi-billion Non-Agency Mortgage portfolio. This is an exciting opportunity to leverage your quantitative and technological expertise in a fast-paced environment, focusing on Jumbo and Non-QM mortgages. At our company, we value career growth and offer a collaborative culture that fosters innovation and professional development.
Job Summary: As a Desk Strategist in the RMBS Desk, you will be at the forefront of our loan acquisition and securitization efforts. Your work will directly impact the firm's success and contribute to the wider financial community. We are a team that values inclusivity, collaboration, and innovation, and we are looking for someone who shares these values. This role offers a unique opportunity to develop cutting-edge models and tools that drive our business forward.
Job Responsibilities:
- Develop amortization cashflow and securitization models, ensuring numerical values align with Intex and Bloomberg.
- Create credit rating models to determine securitization credit enhancement levels for mortgage pools.
- Build fully integrated Jumbo and Non-QM deal structure models.
- Model deal execution and sensitivity, incorporating detailed loan-level information, market conditions, and associated costs.
- Construct loan-level pricing engines based on whole loan pricing, deal execution pricing, and rate sheet pricing.
- Develop scripts and tools for systematic market and business analysis, trading activities, and reporting for portfolio managers and the trading desk.
- Build calculation engines for price, yield, duration, and other financial metrics.
- Coordinate with technology and internal teams regarding trading systems, P&L systems, booking systems, and loan management systems.
Required Qualifications, Capabilities, and Skills:
- Strong academic background in computer science or mathematics-related fields.
- Minimum of 5 years of experience in residential mortgages, with expertise in either Agency or Non-Agency mortgages.
- Excellent programming skills in Python; C knowledge is a plus.
- Experience with amortization cashflow generation, price-yield calculation, and securitization deal structure modeling.
- Proficiency in object-oriented programming.
- Excellent communication skills.
- Experience with IntexCalc or IntexAPI.
- Strong understanding of Private Label Securitization dynamics.
Preferred Qualifications, Capabilities, and Skills:
- Familiarity with the whole loan acquisition process.
- Experience with rating agency credit enhancement models.
- Experience in prepayment and default modeling.
Additional Information: We offer a competitive benefits package and opportunities for professional growth. Our team is committed to fostering an inclusive environment where diverse perspectives are valued. Visa sponsorship is available for qualified candidates.
