Morgan Stanley & Co. LLC seeks a Vice President, Strats in New York, NY

Develop and maintain risk/valuation models used by the desk and help build next generation tools for risk management and valuation. Model new payoffs to support both flow and structured business. Assess pricing model limitations and analyze effectiveness of existing risk models. Monitor daily Pnl attribution, understand and capture deal economics/payoffs, and work with control groups to resolve valuation and attribution issues. Work with IT groups to improve risk runs and T0 Pnl calculations. Maintain certification of existing valuation and risk models. Write and maintain required documentation and testing evidence for the control groups, ensuring model testing, and documentation to comply with model control standards. Respond to inquiries of the control groups and facilitate risk management solutions for the desk's portfolio by implementing risk management tools including stress and scenario testing.

Salary: Expected base pay rates for the role will be between $250,000 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.

Requirements:

Requires a Master's degree in Financial Engineering, Quantitative Finance, or a related field of study and three (3) years of experience in the position offered or three (3) years as a Quantitative Analyst, Consultant, or a closely related occupation. Requires three (3) years of experience with: building trading desk quantitative tools; building market data streaming, option pricing and risk management, and trading blotter tools; mathematical modelling, implementation, and optimization; Stochastic calculus framework modelling and implementation; Monte-Carlo simulation or numerical integration methods; C++, Python, Java, C#, and VBA; market data calibration implementation; time series analysis and modelling; analyzing and assessing projects related to pricing models, trades, and risk management; end-to-end trade-flow cycle; developing mathematical models and tools to support a trading desk, and maintaining and improving existing pricing tools and operational frameworks; pricing and risk-management strategies for complex financial derivatives contracts including interest rate derivatives and credit derivatives; regulatory risk reporting including CCAR and FRTB scenarios definition, scripting, and reconciliation.

Qualified Applicants:

To apply, visit us at https://morganstanley.eightfold.ai/careers?source=mscom and enter JR021160 in the search field. No calls please. EOE

WHAT YOU CAN EXPECT FROM MORGAN STANLEY:

We are committed to maintaining the first-class service and high standard of excellence that have defined Morgan Stanley for over 89 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.

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Morgan Stanley is an equal opportunity employer committed to diversifying its workforce (M/F/Disability/Vet).