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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. A philosophy that balances personal lifestyles, perspectives and needs is an important part of our culture.
The Fixed Income Division is comprised of Interest Rate and Currency Products, Credit Products and Distribution. Professionals in the Division assess and actively manages risk, trade securities, and structure as well as execute innovative transactions in the fast-paced and constantly changing global markets. The Commodities Division is a market leader across a broad range of commodities markets, with expertise in areas including client risk management, financing solutions and investor products Sales & Trading.
From the largest global institutions to innovative new hedge funds, investors come to Morgan Stanley for sales, trading, and market-making services in almost every type of financial instruments including stocks, bonds, derivatives, foreign exchange, and commodities. Our professionals provide liquidity and content to clients around the world, actively assessing and managing risk, trading securities, and planning and executing transactions in the fast-changing markets. As the needs of our clients become increasingly complex, we often develop customized solutions.
Morgan Stanley's regulatory modelling team is part of the Fixed Income Department's macro strategist team. It is focusing on model and quantitative development related to regulatory requirements.
The primary responsibility of the role is the development of a scenario framework for full revaluation scenarios for VaR calculations. This includes the design, development and testing of the framework and also the investigation of calibration and pricing problems. The solution will cover the entire macro business (Rates + FX), all models and product lines. The line of work also extends to additional applications of the developed toolkit to support the trading desks' risk management and hedging needs.
Skills required (essential)
Advanced degree in a quantitative subject such as Mathematics, Physics, Computer Science.
Strong programming and software design skills and ability to apply in a financial trading environment.
Expert knowledge of the programming language Scala, C++ or Java. Alternatively strong knowledge of a, preferably functional, programming language and proven track record of picking up another quickly.
Good interpersonal and confident communication skills.
Knowledge of or willingness to learn details of financial mathematical models.
Willingness to learn proprietary technologies and solutions.
Experience with VaR frameworks and/or financial models advantageous.
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.