Quantitative Research - RMBS Desk Strategy - Vice President

Job Description
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.
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. For those in eligible roles, we offer discretionary incentive compensation which may be awarded in recognition of firm performance and 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.