JPMorgan Quantitative Research - RMBS Desk Strategy Vice President 

United States, New York, New York 

641560225

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.