Team Profile:
XVA Desk is a unit within Fixed Income (FID) and focuses on pricing and hedging Counterparty Credit Risk. The candidate will work closely with XVA strats and traders in New York, London, Hong Kong, with credit/market/model risk management, controllers as well as IT.
Job Profile:
The candidate will be working on developing mathematical models used for pricing financial products, mitigating risks, and providing analytical support for the business while interacting and cooperating with global teams.
Within FID, XVA team prices and hedges credit, funding and collateral risks associated with OTC derivatives.
You will:
- Support cross-asset xVA in daily trading and risk management activities with a focus on commodities markets: pricing new positions, hedging risks, performing PnL attribution
- Develop models, tools, and analytics to price and manage positions
- Lead cross-divisional projects coordinating work of multiple developer groups
- Assist traders, sales, and senior management in understanding pricing models and the quantitative side of the market
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You have:
- Two or more years of experience in developing models for pricing financial derivatives in one or more asset classes: Commodities, Rates, Credit, Foreign Exchange, and Equities;
- MSc. or PhD in mathematical finance, mathematics, physics, statistics, engineering, computer science, or similar quantitative area.
- Strong analytical skills and knowledge of probability theory, statistics, and stochastic processes;
- Hands-on experience in either C++, Python or Scala;
- Excellent communication skills.
- Knowledge of XVA (desirable)
- Self-motivation with high standards for quality of work and accuracy, and attention to details.
- Aptitude to work in a fast-paced, high energy level environment.
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.
Expected base pay rates for the role will be between $150,000 - $200,000 per year for Associate and $200,000 - $250,000 for VP, 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.
Morgan Stanley's goal is to build and maintain a workforce that is diverse in experience and background but uniform in reflecting our standards of integrity and excellence. Consequently, our recruiting efforts reflect our desire to attract and retain the best and brightest from all talent pools. We want to be the first choice for prospective employees.
It is the policy of the Firm to ensure equal employment opportunity without discrimination or harassment on the basis of race, color, religion, creed, age, sex, sex stereotype, gender, gender identity or expression, transgender, sexual orientation, national origin, citizenship, disability, marital and civil partnership/union status, pregnancy, veteran or military service status, genetic information, or any other characteristic protected by law.
Morgan Stanley is an equal opportunity employer committed to diversifying its workforce (M/F/Disability/Vet).