VP, Global Macro and Commodities Modeling Group, Morgan Stanley Strats and Modeling Division recruitment
Position Category: Quantitative Strategies
Position Title: VP, Global Macro and Commodities Modeling Group, Morgan Stanley Strats and Modeling Division
Job Level: Vice President
Location: USA - NY - New York
Education Required: Refer to Position Description
Position Description:
JOB
Vice President, Global Macro and Commodities Modeling Group, Market Modeling, Morgan Stanley Strats and Modeling Division
DUTIES
Morgan Stanley Co. LLC seeks a Vice President, Global Macro and Commodities Modeling Group, Market Modeling, Morgan Stanley Strats and Modeling Division to devise, implement and document new models for counterparty risk, covering a variety of asset classes utilizing C++. Create and improve mathematical models and strategies that the trading desk uses to drive trading decisions. Analyze and manage the risk of the positions currently on the trading books. Create effective valuation and hedging models to manage risk and generate profits using mathematical finance techniques. Perform PL (Profit and Loss) analysis. Create tools for and perform the testing of mathematical models to ensure correct assessment of valuation and risks, as well as for trader tool production releases with PL impacts. Conduct mathematical financial research in support of investment, trading and risk management decisions. Address requests and questions from other groups including Trading, Market Risk and Credit Risk about the mathematical models. Coach junior team members. Apply advanced mathematical and quantitative skills including stochastic calculus, statistics, probability theory, stochastic processes, numerical methods, Monte Carlo simulations, tree methods, partial differential equations and finite difference method, stochastic dynamic programming, optimization and its numerical algorithms to develop, support and enhance financial models. Leverage financial skills including derivatives pricing and hedging, multi-factor term structure models, financial econometrics, and expertise in multiple asset classes such as, counterparty credit risk, interest rates, commodities, foreign exchange, equity, including convertible bonds, and credit. Utilize C++, VBA/Excel, Python, Unix/Linux, gdb and totalview.
REQUIREMENTS
PhD or equivalent in Mathematics, Finance, Engineering or a related quantitative field and 2 years of experience developing, supporting and enhancing financial models utilizing C++ and VBA/Excel as well as stochastic calculus and Monte Carlo simulation on behalf of a global financial services institution. Prior experience must include implementing and supporting derivatives models including counterparty risk modeling; conducting mathematical financial research in support of investment, trading and risk management decisions; and, performing mathematical modeling of multiple asset classes such as counterparty credit risk, interest rates, commodities, foreign exchange, and equity, including convertible bonds.
QUALIFIED APPLICANTS
Please apply directly through this website or e-mail your resume to efc97358@msresumes.com. NO CALLS. EOE
Skills Required:
Refer to position description above.