Vice President, Structured Product Quantitative Developer, Securitized Products Desk Strategist Grou


Company:: Morgan Stanley
(View company profile)
Location:: New York City, NY
Job Type:: Full Time
Category:: Sales & Trading

Yrs of Exp:: 2+ to 5 years
Posted:: 1/29/2013

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Job Description

Position Category: Fixed Income Sales & Trading

Position Title: Vice President, Structured Product Quantitative Developer, Securitized Products Desk Strategist Grou

Job Level: Vice President

Location: USA - NY - New York

Education Required: Refer to Position Description

Position Description:
Morgan Stanley & Co. LLC seeks Vice President, Structured Product Quantitative Developer, Securitized Products Desk Strategist Group in New York, NY to design, implement, and perform analytical support for the bond calculation engine in a highly-distributed, large-scale and real-time system for the Securitized Products trading desk. Deliver fixed income analytical tools for deal pricing, structuring and risk analysis on a daily basis in front office environment using bond math and numerical methods. Add new analytics for loan amortization routines and bond/deal economics in the numeric pricing library, which leverages prepayment/default models and interest rate curves to calculate price/risk. Maintain and upgrade the general-purpose structuring tool for ABS/CMBS/Residential, which includes regular incremental release of a multi-threaded Unix Shell version using C++/debugger and STL/Boost, and Excel-plugin version using C#/Windows. Utilize Object-oriented design pattern to system design. Optimize the system performance. Maintain the grid-based cashflow engine using C++/SOAP for parallel computation, as well as the Excel worksheet functions and Perl libraries based on the engine service. Design and improve cashflow modeling algorithms. Actively involved in the structuring business, and discuss with the trading desk on a daily basis for the bottleneck of current structuring activities. Deliver VBA and Perl scripts to automate the computationally-expensive tasks such as Monte Carlo scenario analysis and capital structure solving. Assist in developing client pitch materials for new securitized products. Complete accounting audited numerical tie-out for disclosure material.

Skills Required:
Ph.D. degree in Physics, Engineering, Computer Science, Computational Finance or related field or equivalent, and two (2) years of quantitative development experience to support fixed income trading. Prior experience must include developing and improving analytical tools for bonds/loans using fixed income math and numerical methods; utilizing C++/debugger in a highly distributed, large scale system; designing and improving algorithms; optimizing the system performance; and utilizing tools and skills including STL, Perl, Unix Shell, and object-oriented design pattern. Employer will accept a Master's degree and five (5) years of experience in the above-listed areas.

QUALIFIED APPLICANTS: Please apply through this website or e-mail your resume to efc115550@msresumes.com. NO CALLS. EOE

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