Structured Rates Asia, Associate, Fixed Income Division

Primary Responsibilities

Morgan Stanley is seeking an Associate Quant (1-4 years of experience) with strong analytical skills to join the Asia Structured Rates strategies. The new hire will be involved in developing analytics tools and pricing models for the desk.

Successful candidate must be a result-oriented problem solver, who can pick required math, technical and finance knowledge as needed.

Responsibilities

This role is part of the Asia Structured Rates Desk Strat (desk quant) team, and will focus on the following areas:

• Quantitative support for the Interest Rates Options Trading desk
• Develop and maintain risk management and valuation models tools used by the desk.
• Improve and maintain market models for interest rate derivatives.
• Maintain and develop pricing algorithm.
• Assess pricing model limitations, and analyze effectiveness of existing risk models.
• Monitor daily profit and loss attribution, ensuring model risks properly capture price volatility.
• Work with control groups to resolve valuation attribution issues and work with IT groups to improve profit and loss attribution.
• Maintain certification of existing valuation and risk models. Scripting and automation of routine tasks (e.g. model change analysis, ad-hoc risk reports) ( C++ and Scala )
• Developing tools for pricing, risk management and data-driven insights.
• Working with controllers and the model risk groups on model documentation and approval.
• Write and maintain required documentation and testing evidence for the control groups, ensuring model testing and documentation comply with model control standards.
• Respond to inquiries of the control groups.
• Facilitate risk management of trading desk`s portfolio to develop risk analysis algorithms and implement risk management tools, including stress tests and scenario tests.
• Work with risk management department to enhance risk management practices.
• Work closely with the trading desk to support existing tools and build the next generation of risk management and valuation tools.
• Explain evaluation and risk models behavior under various market move scenarios.
• Communicate to senior traders on key quantitative projects

Skills desired

Education:

• Bachelor’s degree in Engineering or Sciences
• Master's degree in Financial Engineering, Computational Engineering, or a related field of study( Math / Physics / Computer Science ) is a plus.

Finance:

• no-arbitrage pricing models for interest rate derivatives
• Understanding of interest rate products including caps, swaptions, and Bermudan options
• Understanding of pnl attribution

Technical:

• Experience with C++ is important
• Experience with Scala/Java is a plus

Other:

• Experience in developing and supporting quantitative models in finance
• quantitative finance methods including probability theory, stochastic calculus, time series analysis, statistics, and numerical techniques
• interest rates derivatives and modelling techniques
•  quantitative modelling and statistical analysis
• Demonstrable experience of writing testable code in a financial setting is ideal.