Morgan Stanley is a leading global financial services firm providing a wide range of investment banking, securities, investment management and wealth management services. The Firm's employees serve clients worldwide including corporations, governments and individuals from more than 1,200 offices in 43 countries. As a market leader, the talent and passion of our people is critical to our success. Together, we share a common set of values rooted in integrity, excellence and strong team ethic. Morgan Stanley can provide a superior foundation for building a professional career - a place for people to learn, to achieve and grow.
The Bank Resource Management (BRM) division within Morgan Stanley's Institutional Securities Group is concerned with centralized Liability Management. Individual groups within the division are responsible for Counterparty Portfolio Management, Securities Lending, Financing, Balance Sheet and Margin management, etc. The BRM Strategist group designs and implements financial analytics and quantitative strategies that help various desks within BRM manage their portfolios.
The XVA Strat Team supports the Counterparty Risk Management business by providing quantitative models, analytics and tools to optimize the usage of Firm resources during its sophisticated Over-the-Counter trading; they are responsible for models calculating future exposure, as well as...
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The XVA Strat Team supports the Counterparty Risk Management business by providing quantitative models, analytics and tools to optimize the usage of Firm resources during its sophisticated Over-the-Counter trading; they are responsible for models calculating future exposure, as well as counterparty risk and funding related valuation adjustments (XVA) and risks. The XVA IMM sub-team, currently being formed within the larger team, will be responsible for development and maintenance of XVA IMM Capital models in an effort shared with Credit Risk Methodology group.
We are currently looking for candidates to develop, improve and maintain quantitative models for the Firm's XVA IMM capital framework. To achieve this, the candidate will: • Develop models related to IMM capital, in particular enhance XVA analytics and technology to address capital requirements • Work very closely with technical groups such as Credit Risk Methodology, desk strategists and IT • Interact on a daily basis with major internal stakeholders (BU, Risk, Credit) as well as external parties (regulators)
Qualifications • MSc. or Ph.D in quantitative finance, mathematics, physics, statistics, engineering or similar quantitative area • Previous experience in a quantitative position with a major financial institution in a similar area (XVA or Structured Rates/Credit) • Ability to work in a global team • Confidence and authority to interact with senior management and external parties (regulators) • Strong command of English language • Strong ability to prioritize requests • Programming experience in any of Python, Excel/VBA, C , R, MatLab is an advantage • Interact on a daily basis with major internal stakeholders (BU, Risk, Credit) as well as external parties (regulators)
Morgan Stanley is an equal opportunities employer. We work to provide a supportive and inclusive environment where all individuals can maximise 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.*LI-CN1