Job Number:
3138736
DESCRIPTION
Morgan Stanley & Co. LLC seeks a Vice President, Desk Strategist in New York, New York
Design and develop quantitative models for quoting and trading strategies in the credit electronic trading business. Utilize significant statistical, mathematical and computational expertise in dealing with large datasets. Fit empirical models of hitting probability curve on RFQs (request for quote), calibrate correlation matrix to accurately measure the credit exposure, optimize live risk management and run model performance backtesting. Perform the above tasks in multiple programming environments including KDB+/Q, Python, Scala, HTML/JavaScript, and other Morgan Stanley in-house tools. Maintain, test, and enhance current production code-base for more robust and efficient performance.
QUALIFICATIONS
Requirements:
Requires a PhD in Physics, Statistics, Economics, or related field and one (1) year of experience in the position offered or one (1) year of experience as an Associate. Will accept a Master’s degree in Physics, Statistics, Economics or related field and four (4) years of experience in lieu of a PhD and one (1) year of experience. Requires one (1) year of experience with: corporate credit products including corporate bonds and credit default swaps and bond ETF; quoting conventions, trading practices, and market dynamics in corporate bonds; electronic trading in fixed income products including e-trading platforms and protocols, including RFQs, click-to-trade and streaming; working with market data including electronic inquiry data, trade data and quote data; mathematical models including Kalman Filters and Kaplan-Meier Estimator; statistical inference methods; time series analysis including AR, MA and ARIMA; computational and numerical methods; machine learning including Linear Regression, Logistic Regression, SVM, Random Forest and XGB; mathematical programming and optimization; programming in Python, Scala, and KDB+/Q; Linux environment; and Unix command line tools.
Qualified Applicants:
To apply, visit us at http://www.morganstanley.com/about/careers/careersearch.html Scroll down and enter 3138736 as the “Job Number” and click “Search jobs.” No calls please. EOE
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