The Model Review Group is currently looking for a professional to head up the review for models in one of the major assets classes.
Position Description: The Model Review Group has global responsibility for the independent review of all valuation models used by the Trading Divisions of Morgan Stanley. Model review professionals are located in New York and London, and work closely with desk strategists (Quant Research) and professionals in the Trading Divisions.
Principal activities include work on model reviews across all trading divisions (Equity, Fixed Income, Commodities). The group is organised along major asset classes, covered by professionals in both New York and London. At steady state, the group will have senior members heading the review of models in the major asset classes, and junior members performing the support work.
Skills Required:
Knowledge of mathematical finance, derivative pricing models, and numerical techniques for derivative valuation (Monte Carlo methods, PDE solvers, …),
The ability to program valuation models for complex derivatives,
Excellent writing and communication skills.
Educational requirements include a Ph.D. in Finance, Economics, Mathematics, Mathematical Finance, Physics, Engineering, or a related field or equivalent.
Additional requirements for the senior roles include experience in building derivative pricing models with a financial institution, or experience in a model review/validation group.
