IED, Derivatives Strategist - QIS

IED, Strats, Vice-President, New York

Department Profile

The Institutional Equity Division (IED) is a global leader in the origination, distribution and trading of equity, equity-linked and equity-derivative securities. The Quantitative Investment Strategies group creates rules-based investment strategies that provide our clients with a wide range of exposures. We are looking for an experienced quantitative developer to join the QIS Strats team to help build our pricing library/platform used for QIS strategies.

Responsibilities:

• Write high-quality code to enhance and add new functionality to the internal library that QIS strategies are built on.
• Write high quality documentation, and extensive unit/regression testing
• Mentor members of the team on coding best practices
• Ensure correctness of risks and PnL produced by pricing engines so systematic trading strategies can be hedged accurately by the trading desk.
• Migrate existing QIS strategies so that they leverage latest features of the library
• Debug existing infrastructure to locate and extract efficiency gains.
• Investigate and fix incorrect risk, PnL, and PnL attribution.
• Understand systematic trading strategies, theory of risk premia investing, and mechanics of self-financing trading.
• Work closely with several global teams and interact with them closely to deliver result for the business

Qualifications:

• Advanced degree majoring in Statistics/Computer Science/Math/Engineering
• Advanced quantitative skills
• Strong programming skills in Java or C++
• Skilled at object-oriented programming (inheritance, abstraction, encapsulation)
• Familiarity with financial concepts.

Expected base pay rates for the role will be between $200,000 - $250,000 per year at the commencement of employment. However, base pay if hired will be determined on an individualized basis and is only part of the total compensation package, which, depending on the position, may also include commission earnings, incentive compensation, discretionary bonuses, other short and long-term incentive packages, and other Morgan Stanley sponsored benefit programs.

Morgan Stanleys goal is to build and maintain a workforce that is diverse in experience and background but uniform in reflecting our standards of integrity and excellence. Consequently, our recruiting efforts reflect our desire to attract and retain the best and brightest from all talent pools. We want to be the first choice for prospective employees.  It is the policy of the Firm to ensure equal employment opportunity without discrimination or harassment on the basis of race, color, religion, creed, age, sex, sex stereotype, gender, gender identity or expression, transgender, sexual orientation, national origin, citizenship, disability, marital and civil partnership/union status, pregnancy, veteran or military service status, genetic information, or any other characteristic protected by law.  Morgan Stanley is an equal opportunity employer committed to diversifying its workforce (M/F/Disability/Vet).