Macro Analytics and Modeling Strategist - Vice President

  • Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Morgan Stanley USA
  • 16 Oct 18

Macro Analytics and Modeling Strategist - Vice President

Morgan Stanley's business around the world is supported by groups and teams with a wide variety of specialized skills. They provide information and strategic thinking to the Management Committee; help to ensure the long-term growth and efficient day-to-day functioning of our business; and serve the well-being of our shareholders, clients and employees.

The Fixed Income Division is comprised of Interest Rate and Currency Products, Credit Products and Distribution. Professionals in the Division assess and actively manages risk, trade securities, and structure as well as execute innovative transactions in the fast-paced and constantly changing global markets. The Commodities Division is a market leader in energy, metals, and agricultural product trading worldwide whose professionals trade in both physical and derivative commodity risk.

Macro Analytics & Modeling Strategists are currently looking for a candidate to support the modeling needs of the FX Options trading desk.
The Macro Analytics & Modeling Strategists (A&M Strats) is the team within Morgan Stanley that develops, implements, and supports the pricing models and risk management tools for the Interest Rates, FX, Inflation, and EM businesses.

The role of an A&M Strat involves:
• Implementation of new products within the relevant framework
• Research and implementation of new market models, working closely with Desk Strategists and trading on the requirements
• Implementation of effective calibration routines
• Maintenance and continuous improvement of valuation and calibration routines
• Analysis and improvement of risk calculations
• Documentation of market models, payoffs and calibration routines to the required standard
• Work with control functions especially model review to ensure compliance with regulatory and internal standards

Qualifications:

The successful candidate should have:

• Experience in derivative modeling, preferably in the FX derivatives space
• Strong C++ coding skills
• Good communication skills, able to converse with both traders and IT on technical and non-technical issues
• Proven track record for problem solving and timely delivery
• Theoretical knowledge of Monte Carlo Methods, finite difference methods, stochastic calculus, linear algebra, partial differential equation theory, optimization techniques, numerical methods, probability and statistics
• Expert knowledge of local volatility, stochastic volatility and LSV models

Candidates should have a background (M.Sc. / Ph.D) in a numerate discipline, such as computer science, mathematics, engineering, physics or a similar quantitative field from a highly rated university
Candidates should have excellent interpersonal and communication skills, being effective communicators with colleagues in different regions.
Candidates should have a good command of English