Quantitative Strategist, Fixed Income

Quantitative Strategist, Fixed Income Division

Morgan Stanley is seeking an Associate/Senior Associate Quant 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 candidates must be result-oriented problem solvers, 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 model tools used by the desk.
• Improve and maintain market models for interest rate derivatives.
• Maintain and develop pricing algorithms.
• Assess pricing model limitations and analyze the 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 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) using C++ and Scala.
• Develop tools for pricing, risk management, and data-driven insights.
• Work with controllers and model risk groups on model documentation and approval.
• Write and maintain required documentation and testing evidence for control groups, ensuring model testing and documentation comply with model control standards.
• Respond to inquiries from control groups.
• Facilitate risk management of the trading desk's portfolio by developing risk analysis algorithms and implementing risk management tools, including stress tests and scenario tests.
• Work with the 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 model behavior under various market move scenarios.
• Communicate key quantitative projects to senior traders.

Education and Skills

Skills Desired

• 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 understanding: no-arbitrage pricing models for interest rate derivatives, understanding of interest rate products (caps, swaptions, Bermudan options), understanding of P&L attribution.
• Technical experience: Experience with C++ is important; experience with Scala/Java is a plus.
• Other experience: Developing and supporting quantitative models in finance; quantitative finance methods including probability theory, stochastic calculus, time series analysis, statistics, and numerical techniques; interest rate derivatives and modeling techniques; quantitative modeling and statistical analysis.
• Demonstrable experience of writing testable code in a financial setting is ideal.

What You Can Expect From Morgan Stanley

At Morgan Stanley, we raise, manage, and allocate capital for our clients – helping them reach their goals. We do it in a way that’s differentiated – and we’ve done that for 90 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.

To learn more about our offices across the globe, please copy and paste https://www.morganstanley.com/about-us/global-offices into your browser.

Morgan Stanley is an equal opportunities employer. We work to provide a supportive and inclusive environment where all individuals can maximize their full potential. Our skilled and creative workforce is comprised of individuals drawn from a broad cross section of the global communities in which we operate and who reflect a variety of backgrounds, talents, perspectives, and experiences. Our strong commitment to a culture of inclusion is evident through our constant focus on recruiting, developing, and advancing individuals based on their skills and talents.

Key skills/competency

• Quantitative Strategist
• Fixed Income
• Interest Rate Derivatives
• Pricing Models
• Risk Management
• C++
• Scala
• Financial Engineering
• Stochastic Calculus
• Time Series Analysis