Interest Rates Valuation Risk Controller

  • Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Morgan Stanley USA
  • 16 Feb 19

Interest Rates Valuation Risk Controller

Morgan Stanley is a global financial services firm and a market leader in investment banking, securities, investment management and wealth management services. With more than 1,200 offices in 43 countries, the people of Morgan Stanley are dedicated to providing our clients the finest thinking, products and services to help them achieve even the most challenging goals.

Morgan Stanley Valuation Control (VC) provides an independent valuation opinion across the entire spectrum of financial instruments within the firm's sales and trading inventory and investment portfolios. Products range from plain-vanilla to the most complex structured derivative transactions. The team leverages its diverse quantitative skill set and product expertise to act as a guardian of the firm's books and records and approver of valuation methodology. VC plays a central role within the organization and liaises closely with traders, market risk, product control, technology, and strategy/modeling teams. The group's key clients are senior trading management and senior Finance management.

Morgan Stanley is seeking a strong quantitative candidate for Valuation Control covering Emerging Markets and Rates Products. The candidate will be primarily responsible for mark review execution, management, coordination, and delivery across multiple FX and fixed income portfolios.

- A successful candidate will be able to manage exotic rates valuations to ensure compliance with FAS 157, fair value accounting policy and valuation controls as well as responsible for setup and consolidation of valuation results for the structured rates desk.
- Work with strategy/modeling teams to conduct assessment of models used for valuations of derivatives and other financial instruments, assessment of valuation methodologies, testing of valuation tools, identification and resolution of valuation discrepancies, and communicating assessments to senior management and challenging model developers.
- Utilize proprietary models, Bloomberg, etc.. to derive market based prices.
- Work closely with traders and risk management to resolve pricing disparities, substantiate significant mark ups/downs, and report valuation review results to senior management.
- Liaise with Global Product Control to validate P&L and understand new transactions. Perform production and policy review regarding the firm's quarterly FAS157 accounting disclosure.

Qualifications:

The ideal candidate will possess 3+ years working experience with direct working knowledge of Rates products, including both vanilla and structured products. Strong academics required with preference for an advanced degree in a quantitative discipline, e.g. financial engineering, statistics, mathematics, physics or engineering.

- Strong mathematical background and modeling skills;
- Computational skills using VBA/Excel preferred;
- Strong inter-personal skills in order to interact confidently with Front Office Trading and Strategists, Finance senior management, and other internal and external stakeholders.
- The candidate needs to be able to challenge the valuation methodologies proposed by the Business Unit quantitative analysts;
- Ability to work effectively as a member of the team and independently.
- Strong written and oral communication skills.
- Proven problem solving and trouble shooting skills.
- Control-minded with strong attention to detail.
- Work effectively under pressure when confronted with tight deadlines.
- Ability and willingness to adapt to new challenges in a dynamic environment.