Modelling Strategist - Derivatives Strat team
Morgan Stanley's Equities Derivatives division is looking for a strategist/quantitative analyst for the Modelling team within the Derivatives Strats. Derivatives strategists are key participants, together with traders and sales people, in the revenue-generating activities of our Sales & Trading Division.
Modelling strats are responsible for implementing and supporting the models used in trading of exotic and flow derivatives and in regulatory calculations. They work to continuously improve the pricing library in terms of modelling accuracy and efficiency. They develop new models and innovative mathematical methods, algorithms or approximations that allow to better capture the risk and hedging of financial products.
· Work on a new full-reval VaR engine involving scenario modelling and analysis of large datasets
· Build cutting edge analytics and tools for analyzing risk in equity derivatives products
· Conduct time-series analysis of complex trades to assess the best pricing method
· Create tools to assist decision making & increase efficiency in trading
· An advanced degree in a quantitative subject such as Engineering, Applied Mathematics & Physics, Software Engineering
· Experience working with large datasets and/or regulatory calculations
· Strong programming skills in an object oriented language. *LI-SG1