What you'll do in the role:Morgan Stanley & Co. LLC is seeking a Vice President, Strats in New York, New York to develop new pricing models and maintain and improve existing models. Support the desk's daily trading and risk management activities including pricing, hedging, etc. Help trader and sales teams understand the market and develop new business. Work with controllers and model risk groups on model documentation and approval. Telecommuting permitted up to 2 days per week.
What you'll bring to the role:-Requires a Master's degree in Operations Research, Financial Engineering, or a related field of study
-Requires three (3) years of experience in the position offered or three (3) years as a Quantitative Research Intern, Research Assistant, or a closely related occupation
-Requires three (3) years of experience with the following skills:
- stochastic calculus, and probability theory;
- Python for quantitative analysis, numerical modeling, and rapid prototyping;
- version control including Git and Github;
- statistics and machine learning concepts;
- default intensity and hazard-rate modeling; and
- developing original approaches to complex quantitative problems.
-Requires one (1) year of experience with the following skills:
- mathematical finance;
- programming in C++ and developing and maintaining pricing libraries;
- credit derivative pricing;
- interest-rate derivatives and pricing models;
- working with trading, risk, and technology teams in a front-office environment;
Monte Carlo simulation techniques for pricing and risk analytics.
Expected base pay rates for the role will be between $225,000 and $250,000 per year at the commencement of employment. However, base pay if hired will be determined on an individualized basis and is only part of the total compensation package, which, depending on the position, may also include commission earnings, incentive compensation, discretionary bonuses, other short and long-term incentive packages, and other Morgan Stanley sponsored benefit programs.
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