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

　　Support the daily operation of Morgan Stanley's 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. 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 valuation and risk models behavior under various market move scenarios. Communicate to senior traders on key quantitative projects.

　　Salary: Expected base pay rates for the role will be between $250,000 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.

　　QUALIFICATIONS

　　Requirements:

　　Requires a Master's degree in Financial Engineering, Computational Engineering, or a related field of study and three (3) years of experience in the position offered or three (3) years as an Associate, or a closely related occupation. Requires three (3) years of experience with: developing and supporting quantitative models for pricing interest rate derivatives; quantitative finance methods including probability theory, stochastic calculus, time series analysis, statistics, and numerical techniques; no-arbitrage pricing models for interest rate derivatives; interest rate products including caps, swaptions, and Bermudan options; pricing models used to price products including SABR, interest rate term structure models, and Markov Functional; C++; functional reactive programming; interest rates derivatives and modelling techniques; quantitative modelling and statistical analysis.

　　Qualified Applicants:

　　To apply, visit us at https://ms.taleo.net/careersection/2/jobsearch.ftl?lang=en Scroll down and enter 3240962 as the "Job Number" and click "Search jobs." No calls please. EOE