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Structured Rates Asia, Senior Associate, Fixed Income Division
senior · Investment Banking
Division: Fixed Income Division
Job Title: Quantitative Strategist
Location: Mumbai
Job Level: Associate/Senior Associate
Company Profile
Morgan Stanley is a leading global financial services firm providing a wide range of investment banking, securities, investment management and wealth management services. The Firm's employees serve clients worldwide including corporations, governments, and individuals from more than 1,200 offices in 43 countries.
As a market leader, the talent and passion of our people is critical to our success. Together, we share a common set of values rooted in integrity, excellence, and strong team ethic. Morgan Stanley can provide a superior foundation for building a professional career - a place for people to learn, to achieve and grow. A philosophy that balances personal lifestyles, perspectives and needs is an important part of our culture.
Department Profile
The Fixed Income Division is comprised of Interest Rate and Currency Products, Credit Products and Distribution. Professionals in the Division assess and actively manage risk, trade securities, and structure as well as execute innovative transactions in the fast-paced and constantly changing global markets. The Structured Rates Division is a market leader in Interest Rates Derivatives trading worldwide whose professionals trade in both exchange traded and OTC derivatives.
Background on the Team
The Structured Rates Asia desk, trades IR derivatives in the Asian markets.
Primary Responsibilities
Morgan Stanley is seeking an Associate/Senior Associate Quant (2-4 years of experience) with strong analytical skills to join the Asia Structured Rates strategies. The new hire will be involved in developing analytics tools and pricing models for the desk.
Successful candidate must be a result-oriented problem solver, who can pick required math, technical and finance knowledge as needed.
Responsibilities
This role is part of the Asia Structured Rates Desk Strat (desk quant) team, and will focus on the following areas:
- Quantitative support for the Interest Rates Options Trading desk
- Develop and maintain risk management and valuation models tools used by the desk.
- Improve and maintain market models for interest rate derivatives.
- Maintain and develop pricing algorithm.
- Assess pricing model limitations, and analyze effectiveness of existing risk models.
- Monitor daily profit and loss attribution, ensuring model risks properly capture price volatility.
- Work with control groups to resolve valuation attribution issues and work with IT groups to improve profit and loss attribution.
- Maintain certification of existing valuation and risk models. Scripting and automation of routine tasks (e.g. model change analysis, ad-hoc risk reports) ( C++ and Scala )
- Developing tools for pricing, risk management and data-driven insights.
- Working with controllers and the model risk groups on model documentation and approval.
- Write and maintain required documentation and testing evidence for the control groups, ensuring model testing and documentation comply with model control standards.
- Respond to inquiries of the control groups.
- Facilitate risk management of trading desk`s portfolio to develop risk analysis algorithms and implement risk management tools, including stress tests and scenario tests.
- Work with risk management department to enhance risk management practices.
- Work closely with the trading desk to support existing tools and build the next generation of risk management and valuation tools.
- Explain evaluation and risk models behavior under various market move scenarios.
- Communicate to senior traders on key quantitative projects
Skills desired
Education:
- Bachelor’s degree in Engineering or Sciences
- Master's degree in Financial Engineering, Computational Engineering, or a related field of study( Math / Physics / Computer Science ) is a plus.
Finance:
- no-arbitrage pricing models for interest rate derivatives
- Understanding of interest rate products including caps, swaptions, and Bermudan options
- Understanding of pnl attribution
Technical:
- Experience with C++ is important
- Experience with Scala/Java is a plus
Other:
- Experience in developing and supporting quantitative models in finance
- quantitative finance methods including probability theory, stochastic calculus, time series analysis, statistics, and numerical techniques
- interest rates derivatives and modelling techniques
- quantitative modelling and statistical analysis
- Demonstrable experience of writing testable code in a financial setting is ideal.
WHAT YOU CAN EXPECT FROM MORGAN STANLEY:
At Morgan Stanley, we raise, manage and allocate capital for our clients – helping them reach their goals. We do it in a way that’s differentiated – and we’ve done that for 90 years. Our values - putting clients first, doing the right thing, leading with exceptional ideas, committing to diversity and inclusion, and giving back - aren’t just beliefs, they guide the decisions we make every day to do what's best for our clients, communities and more than 80,000 employees in 1,200 offices across 42 countries. At Morgan Stanley, you’ll find an opportunity to work alongside the best and the brightest, in an environment where you are supported and empowered. Our teams are relentless collaborators and creative thinkers, fueled by their diverse backgrounds and experiences. We are proud to support our employees and their families at every point along their work-life journey, offering some of the most attractive and comprehensive employee benefits and perks in the industry. There’s also ample opportunity to move about the business for those who show passion and grit in their work.
To learn more about our offices across the globe, please copy and paste https://www.morganstanley.com/about-us/global-offices into your browser.
Morgan Stanley is an equal opportunities employer. We work to provide a supportive and inclusive environment where all individuals can maximize their full potential. Our skilled and creative workforce is comprised of individuals drawn from a broad cross section of the global communities in which we operate and who reflect a variety of backgrounds, talents, perspectives, and experiences. Our strong commitment to a culture of inclusion is evident through our constant focus on recruiting, developing, and advancing individuals based on their skills and talents.