【モルガン・スタンレー】Asia Fixed Income Desk Strats, AS, Fixed Income Division
仕事内容
About the Role
Asia Fixed Income Desk Strats are currently looking for a candidate to work on quantitative and technology challenges within the Interest Rates business.
The primary responsibility is to support the quantitative needs of the Structured rates business in Tokyo.
The role of a Desk Strat involves:
• Design, develop, and implement complex pricing models for structured rate products, including interest rate derivatives, swaptions, options, and exotics.
• Utilize advanced mathematical techniques such as stochastic calculus, numerical methods (e.g., Monte Carlo simulations, finite difference methods), and optimization algorithms.
• Work directly with trading desks to ensure models align with market conditions and business requirements, e.g., perform scenario analysis, stress testing, and sensitivity analysis using advanced quantitative methods to evaluate risk exposure, validate model assumptions as well as analyze PnL attribution.
• Build and maintain robust analytical libraries and pricing engines using programming languages such as C++, Scala, or Python
• Collaborate closely with traders, risk managers, sales teams, technology teams and other quants to provide quantitative support and insights.
応募資格(必須経験など)
QUALIFICATIONS
Qualifications, Skills, and Requirements
• Education: Master’s or Ph.D. degree in a quantitative discipline such as Mathematics, Physics, Computer Science, Engineering, or Financial Engineering
• Experience: 3-5 years of experience in a quantitative role within fixed income or structured rates at an investment bank or financial institution.
• Technical Skills: Expert programming skills in C++, Scala, or Python, or similar languages, with a focus on building scalable, efficient, and high-performance applications.
• Knowledge of structured rates products, e.g., Swaption, Bermudan, Range Accrual, Spread option, PRDC and so on.
• Mathematical Skills:
oStrong knowledge of stochastic calculus, differential equations, and numerical methods for solving complex financial problems.
oExperience with Monte Carlo simulations, finite difference methods, and other numerical techniques for modeling and pricing derivatives.
oAnalytical and Problem-Solving Skills: Ability to quickly grasp complex mathematical concepts and apply them effectively to real-world trading scenarios.
• Good communication skills, to converse with both traders and IT on technical and non-technical issues alike.