摩根大通-量化研究.ppt

Quantitative Research at JPMorgan Chase Who we are QR is an expert quantitative modeling group partnering with traders, marketers, and risk managers across all products and regions. Currently 260 quants: 170 working on trading desks and 90 working with risk managers Represented in New York, London, Houston, Singapore, Hong Kong, Tokyo, Sydney and Sao Paulo Planning a new QR center in Beijing. What we do Support of JPM trading businesses Develop mathematical models for pricing, hedging and risk measurement of derivatives Develop algorithms for electronic trading and order execution Explain model behavior, identify sources of risk in portfolios, perform scenario analysis Develop and deliver analytics in software and systems Develop tools for pricing and structuring Develop models and analytics for counterparty exposure and capital usage Support of Central Risk Management and Finance, both IB and corporate Risk methodologies and engines Capital and profitability measurement Regulatory relations on capital models and model risk Understand and control model risk across all of the above Evaluate quantitative methodologies: identify and monitor model risk associated with valuation and risk models Assess the appropriateness of quantitative models and their limitations for valuation and risk management In support of all of the above, designing and developing Software frameworks for analytics Efficient numerical algorithms and implementing high performance computing What we’re looking for Our ideal candidate has… Enrolled in math, sciences, engineering, finance or computer science Exceptional analytical, quantitative and problem-solving skills Mastery of advanced mathematics and numerical analysis arising in financial modeling Linear algebra, probability theory, stochastic processes, differential equations, numerical analysis Experience with advanced statistical models for empirical estimation of risk models Strong knowledge of options pricing theory or econometric mode