Valuation Review Group - Interest Rate & Currency Manager
Company:
Morgan Stanley
Location:
USA-NY-New York City
Compensation:
not disclosed
Position Type:
Employee
Employment type:
Full time
Updated:
14 Oct 2008
eFC Ref no:
436792
See job description below
Position Category: Finance/Accounting
Position Title: Valuation Review Group - Interest Rate & Currency Manager
Job Level: Manager
Location: USA - NY - New York
Education Required: Bachelors Degree
Position Description: Morgan Stanley is seeking a qualified individual at the Manager level for its VRG Interest Rate & Currency Division. The Morgan Stanley Valuation Review Group provides an independent valuation opinion across the entire spectrum of financial instruments within the firm's sales and trading inventory and proprietary investment portfolio, ranging from vanilla products to the most complex structured and derivative transactions. The team leverages its diverse quantitative skill set and intimate product expertise to act as a guardian and approver of valuation methodology. The group's key clients are senior trading management as well as the CFO organization of the firm.
VRG - Interest Rate & Currency Division (IRC)
The Interest Rate & Currency (IRC) VRG group is responsible for the independent valuation of the IRC business which includes:
The team is also involved in the continuous advancement and enhancements of the valuation control infrastructure with a view towards global and cross-product standardization. The team works closely with other groups within the Financial Control Group, Business Unit traders, the Analytical Modeling Group, and Risk Management.
A sample of products covered include Swaps, Vanilla Volatility Products (Swaptions & Caps/Floors), Bermudan Swaptions, BMA Volatility Products, CMS / CMS Spread Options, Exotic Structured Derivatives (CRAS, TARN, Snowballs, etc.), Hybrid Options, Credit Default Swaps, Structured Credit Products, and Credit Contingent Swaps. The candidate will initially focus on the CPM desk whose mandate is to manage the counterparty credit risk of Morgan Stanley. The CPM desk is playing an increasingly important role given the need to closely manage counter party credit exposure with the volatility of the current credit market.
Responsibilities Include:
• Analysis and production of valuation review assessment • Articulate results of analysis to a diverse audience including Division CFO's, Trading Desk managers, Trading Management, and Risk Management • Opine on valuation issues, acting as product specialist / technical advisor to Controllers • Developing valuation methodology enhancements • Drive requirements for strategic technology framework • Analyze and present significant complex transactions to senior review committee
Skills Required: •Strong communication skills are essential as the position entails a very high level of interaction and collaboration with Trading desks, Trading management, Analytical Modeling, Risk Management, and Controllers.
• The candidate should possess at least 2 years experience with interest rate derivatives products mentioned above, and be proficient in the theory & application of option pricing models. An ideal candidate will have good knowledge of the CDS market and familiarity with Potential Exposure calculation and Monte Carlo simulations.
• A strong academic background, preferably in a quantitative discipline is strongly preferred.
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