Corporate Treasury Strats

Location
Mumbai (MSA), Maharashtra, India
Salary
Not disclosed
Posted
04 Oct 2021
Closes
01 Nov 2021
Ref
3188700
Approved employers
Approved employer
Contract type
Permanent
Hours
Full time
Experience level
Qualified accountant
Description

A potential candidate will be involved in developing a model for the forward initial margin calculation. This requires projecting the risk of trades forward in time in the Monte Carlo framework. Experience in building pricing models for exotic derivatives (rates, FX, credit) or XVA is a strong plus.

Experience in building pricing models for exotic derivatives or XVA is a strong plus.

Corporate Treasury Strats Mumbai

From global institutions to hedge funds, investors come to Morgan Stanley for sales, trading, and market-making services in almost every type of financial instrument in all the world’s financial markets. Morgan Stanley professionals use our network and technology to provide liquidity and sophisticated analysis, to manage risk and execute reliably in the fast-changing markets.

Corporate Treasury Desk Strategy group provides analytic support for Corporate Treasury globally and is a part of the MS Fixed Income Strats organization. Main areas of focus are: long-term debt issuance and hedging, liquidity management, internal liquidity stress test, regulatory liquidity reporting, hedge accounting, funds transfer pricing, structured notes issuance, E*Trade integration, and support of Corporate Treasury trading.

Corporate Treasury Strats are currently looking for a candidate to work on quantitative and technology challenges supporting the MS Corporate Treasury.

The role of a Desk Strat involves:

  • Developing and supporting the Corporate Treasury portfolio pricing, risk management and P&L monitoring tools.
  • General quantitative work, e.g., developing tools for pricing and risk-management; setting up and running scenarios; data / trade / risk analysis; investigating P&L explain issues.
  • Working closely with IT on testing and integrating new models.
  • Liaising with control functions (Risk, Controllers) on quantitative issues pertaining to their roles.
Qualifications

The successful candidate should have:

  • Some knowledge of rates products, e.g., Corporate Bonds, Interest Rate Swaps
  • Development skills, with a preference for Scala, KDB/Q and C++.
  • Good communication skills, to converse with both traders and IT on technical and non-technical issues alike.
  • Strong background of Mathematics.
  • Candidates should have a background (Bachelor’s/ M.Sc. / Ph.D) in mathematics, physics, computer science or a similar quantitative field.
  • Candidates should have excellent interpersonal and communication skills, being effective communicators with colleagues in different regions.
  • Candidates should have a good command of English
For further information, and to apply, please visit our website via the “Apply” button below.

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