Vice President, Credit Complex Modeling

  • Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Morgan Stanley USA
  • 24 Sep 17

Vice President, Credit Complex Modeling


Morgan Stanley & Co. LLC seeks a Vice President, Credit Complex Modeling in New York, New York

Design and develop mathematical models for quoting and trading strategies in the credit electronic trading business. Perform implementation, parameter calibration, optimization, and back-testing of these models. Analyze the result of the above implementations and provide periodic statistical reports to assess and improve the models. Provide credit analysis and risk analysis for regulation purposes. Perform the above tasks in multiple programming environments including Python, Scala, Java, KDB+/Q, HTML/JavaScript, and other Morgan Stanley in-house tools. Maintain, test, and enhance current production code-base for more robust and efficient performance.


Requirements :

Requires a PhD in Applied Mathematics, Engineering, Physics, Computer Science, or related quantitative field of study and one (1) year of experience in the position offered or one (1) year of experience as an Associate or related occupation. Will accept a Master's degree and four (4) years of experience in lieu of a PhD and one (1) year of experience Will accept any amount of experience or graduate/doctoral coursework with the following skills: fixed income products including quoting conventions, trading practices, and market dynamics; the e-trading space including e-trading platforms and protocols; available market data including electronic inquiry data including RFQs and click-to-trade, and e-trading controls; mathematical models including Kalman filters; data analysis; statistical inference methods; time series analysis; computational and numerical methods; machine learning; mathematical programming and optimization; programming in Python, Scala, Java, and KDB+/Q; the Linux environment; and Unix command line tools.

Qualified Applicants :
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