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

Develop quantitative models for pricing, risk, and execution across municipal derivative products including structured financing products, bond options, and interest rate swaps. Architect proprietary market-making framework for structured financing products including automated pricing engines and internal risk offsetting infrastructure. Handle real-time Profit and Loss estimation, scenario analysis, and risk attribution across Municipal trading books. Expand the Tender Option Bond Lending facility to optimize regulatory capital treatment, and automate full ticketing workflow including creation, updates, and approvals. Drive cross-desk collaboration to enhance capital efficiency and model governance for structured products. Provide high-level strategic support to desk heads and risk management on product expansion and risk mitigation. Telecommuting permitted up to 1 day per week.

Salary: 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.

Requirements:

Requires a Master’s degree in Finance, Applied Mathematics, Financial Engineering, or a related field of study and two (2) years of experience in the position offered or two (2) years as an Associate, Analyst, or a closely related occupation. Requires two (2) years of experience with: bilateral structured transactions with elemental derivative products including interest rate swaps, options on credit risky bonds, return swaps, currency swaps, tax-exempt money market swaps, leveraged tax-exempt financing, rate locks, credit default swaps, and callable swaps; US tax-exempt market including mathematical modeling of idiosyncratic features including pre-refunding, de minimis benefits, double barrel, band qualified, Build America Bonds (BABs), embedded call optionality, and tender option bond trust structures; Scala, kdb+q, Python, and C++; automated derivative structuring, and booking and cross-asset analytics; Value at Risk (VaR) calculations, Volcker Rule regulations, Comprehensive Capital and Analysis Review (CCAR) calculations, and managerial risk reporting; ratio representations of tax-exempt money market funds and no-arbitrage stochastic models for SIFMA/Secured Overnight Financing Rate (SOFR) ratios in forward time including all associated convexity corrections; key-rate duration risk metrics across interest rates, credit hazard processes, and foreign exchange rates; applying statistical arbitrage techniques to tax-exempt index products and derivatives; working across a global quant team; communicating complex model outcomes to non-technical stakeholders; and parameter optimization of the Heath Jarrow Morton (HJM) stochastic interest rate model, risk neutral valuation, and martingale processes under various numeraires.

Qualified Applicants:

To apply, visit us at https://morganstanley.eightfold.ai/careers?source=mscom and enter JR017722 in the search field. No calls please. EOE

WHAT YOU CAN EXPECT FROM MORGAN STANLEY:

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