Vice President, Structured Credit Desk Strategist, Corporate Credit Strategies recruitment

Position Category: Quantitative Strategies

Position Title: Vice President, Structured Credit Desk Strategist, Corporate Credit Strategies

Job Level: Vice President

Location: USA - NY - New York

Education Required: Refer to Position Description

Position Description:
Morgan Stanley Co. LLC seeks Vice President, Structured Credit Desk Strategist, Corporate Credit Strategies in New York, NY to maintain and periodically renovate the 'bespoke benchmark correlation surfaces' corresponding to a set of benchmark portfolios whose composition is representative of the desk's trade population. Develop and continue to maintain a tool that can automatically build these benchmarks subject to a variety of constraints that ensure overlap between adjacent benchmarks, minimum liquidity score, proper distribution across regions and spread buckets, allowing the desk to make modifications to the benchmarks in reaction to market events such as defaults and restructurings. Responsible for calculating, reporting and developing tools to compute the 'Comprehensive Risk Measure' (CRM), which is a key metric required by regulators (Fed, FSA etc.) to compute the amount of capital the desk is required to hold per recent regulations (eg: Dodd-Frank, Basel 2.5 etc) for continuous reporting on a weekly basis to ensure compliance with industry regulations. Responsible for performing tests which demonstrate that the firm's methodology used to compute CRM is accurate. Responsible for answering questions from regulators. Monitor, verify and report the desk's daily PnL to traders, controllers, and management. Serve as point person on any issues regarding daily PnL, including: T0 PnL Summary evening PnL report, an unofficial estimate of the day's PnL for the entire Credit Derivatives Products business; and Morning PnL reports, the accurate official PnL that feeds into the firm's books. Responsible for additional reports including: PnL Explain reports (summary of the previous day's PnL by business); SCP_All Historical PnL report (shows 1-day, 5-day, monthly, and year-to-date PnL broken down by region, sector, reference entity, liquidity score, etc.); Spread PnL by curve move report (buckets economic PnL by spread move); Bench PV10% spread PnL estimate report (compares actual economic PnL with a risk-based estimate); and Spread PnL vs. Index change regression report (computes inherent risk bias in the desk's books). Create original product valuation models, trading strategy analytics, and risk and valuation tools for use by traders and other desk strategists to better understand risk, identify market opportunities, and drive trading decisions for the Credit Derivatives Product Desk. Assist the desk in analyzing large potential trades. Quantify resulting change to the desk's positions under various scenarios, and calculate its impact on several risk and PnL measures. Create and continue to maintain a tool for the desk to track its PnL from trades with quanto risk, which runs daily and produces automated emails that show the quanto PnL and attribute it to factors such as spread moves. Test, verify, and sign off on model changes that affect the desk's risk and PnL, and which typically affect a large fraction of the desk's positions, including performing consistency checks to ensure that the model change has been implemented correctly. Support trading of exotic structured derivatives products including Bespoke CDOs, Index Tranches, Nth to defaults, CDOs with risky collateral, CDO squareds, Quanto CDS, Index CDS, as well as CDS indices including iTraxx, CDX IG and CDX HY. Collaborate with traders to analyze the risk in the desk's positions and provide advice to properly manage it. Create models for single name risk, index-single name basis dynamics, bespoke CDO correlation calibration, and Nth to default products. Monitor and analyze the effectiveness of current pricing, valuation, and risk models and promote and implement new developments as needed. Liaise with IT to develop tools needed to enhance risk management and increase revenues. Work with traders and structurers to design new products, including designing and structuring trades for clients and traders. Utilize technologies including Excel, C++, C#, and Java; statistical packages including SAS and Matlab; as well as market standard models including Gaussian Copula and Piecewise Constant Hazard Rate, mathematical finance concepts, empirical statistics, probability, calculus, partial differential equations, linear algebra, Monte Carlo methods, and numerical techniques.

Skills Required:
Ph.D. degree in Finance, Mathematics, Engineering, Physics, or related quantitative field or equivalent, and two (2) years of experience developing trading and risk management analytics, pricers, and valuation models to support structured credit trading on behalf of a global financial services institution, including CDS, Quanto CDS, Bespoke CDOs, Index CDS, Index Tranches, Nth to defaults, and CDO Squareds products, and iTraxx, IG and HY tranche markets. Prior experience must include performing daily risk and PnL analysis, reporting, and consistency checks; and utilizing Excel, C++, C#, Java, SAS and Matlab, as well as Gaussian Copula and Piecewise Constant Hazard Rate market standard models, mathematical finance concepts, empirical statistics, probability, calculus, partial differential equations, linear algebra, Monte Carlo methods, and numerical techniques.

QUALIFIED APPLICANTS: Please apply through this website or e-mail your resume to Efc108121@msresumes.com. NO CALLS. EOE