JPMorgan Chase Portfolio Manager in New York, New York
Duties: Mine large mortgage data sets and generate reports by developing automated scripts in database querying software (SAS, SQL, UNIX etc.). Help calibrate mortgage models by tracking performance of models against results. Track risk exposures within the portfolio and execute funding to mitigate portfolio risk. Leverage understanding of VBA (Visual Basic), bond math and fixed income cashflows to price and estimate returns on new portfolio loan originations. Assimilate economic events and market data points to provide written commentary on possible risk/return implication for portfolio. Collaborate with technology and modelling teams to continuously improve and automate portfolio processes.
Minimum education and experience required: This position requires a Master's degree of Mathematical Finance, Mathematics, Economics, Operations Research, Engineering, or related field of study and one (1) year of experience in the job offered or one (1) year of experience as a Risk Capital Analytics, Risk Management, Data Analytics, Risk Analysis, Fixed Income Analytics, or related occupation. The employer will also accept a Bachelor's degree and three (3) years of experience in lieu of a Master's degree and one (1) year of experience.
Skills Required: This position requires one (1) year of experience with the following skills and technologies: extracting and manipulating large data sets using SAS and SQL; designing data mining frameworks in SAS to mine mortgage data; writing scripts in VBA to perform discounted cashflow calculations for estimating loan value and risk of mortgage loans; estimating implication of Basel standardized and advanced bank capital rules on profitability of fixed rate and hybrid mortgage products; determining probability of default, loss severity and loss frequency for mortgage loans using multinomial logistic regression credit risk models; evaluating impact of technological improvements on mortgage performance through scenario analysis; calibrating and back-testing performance of econometric and transition based mortgage models; mortgage markets, mortgage life cycle and mortgage pricing; and fixed income bond math, data mining, and multi factor regression.
JPMorgan Chase is an equal opportunity and affirmative action employer Disability/Veteran.