Interest Rate Valuation Risk Controller - Full-time / Part-time

Company Profile

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.

Department Profile

The Finance Division reports to the Chief Financial Officer and consists of some 3,000 employees worldwide. Finance protects the Morgan Stanley franchise by serving as guardian of the Firm's books and records, and by contributing to Firmwide risk management and risk reduction. This division maintains relationships with Morgan Stanley's various industry and government regulators, and also serves as the conduit of financial information to the outside investment community. Finance plays a critical role as advisor to Morgan Stanley's various businesses and its senior management team.

Team Profile

Morgan Stanley Valuation Control (VC) provides an independent valuation opinion across the entire spectrum of financial instruments within the firm's sales and trading inventory and investment portfolios. Products range from plain-vanilla to the most complex structured derivative transactions. The team leverages its diverse quantitative skill set and product expertise to act as a guardian of the firm's books and records and approver of valuation methodology. VC plays a central role within the organization and liaises closely with traders, market risk, product control, technology, and strategy/modeling teams. The group's key clients are senior trading management and senior Finance management.

Primary Responsibilities

Morgan Stanley is seeking a strong analyst/associate for its Valuation Control team covering the FX Options and Emerging Market businesses. The candidate will be primarily responsible for execution, management, coordination, and delivery across multiple FXEM portfolios.

• A successful candidate will be able to manage interest rates valuations to ensure compliance with FAS 157, fair value accounting policy and valuation controls as well as responsible for setup and consolidation of valuation results for the Interest Rates Group.
• Responsible for insuring the quality of the inputs for all valuation models used in FXEM such as FX volatility grids, XCCY curves, Spot and forward rates, IR Discount and forward curves, Asset correlation data, Exotic option premiums,…
• Utilize proprietary models, Bloomberg, etc. to derive market based prices for FX and EM products including but not limited to:

1) FX OTC Vanilla and exotic (barrier, basket, digital) options, Variance and volatility Swaps, Cross currency swaps, Forward contracts…

2) Latam structured products, Total Return Swaps, IR options, listed futures, with a focus on the Brazilian market

• Work closely with traders and risk management to resolve pricing disparities, substantiate significant mark ups/downs, and report valuation review results to senior management.
• Work closely with strategy/modeling teams as well as model control to facilitate the development of improved valuation methodologies for FXEM products across the Firm.
• Liaise with Global Product Control to validate P&L and understand new transactions. Perform production and policy review regarding the firm's quarterly FAS157 accounting disclosure.

Skills required

The ideal candidate will possess 2-5 years working experience with direct working knowledge of derivatives, including both vanilla and exotics. Strong academics required with preference for an advanced degree in a quantitative discipline, e.g. financial engineering, statistics, mathematics, physics or engineering.

Personal skills:

• Ability to work effectively as a member of the team and independently.
• Effective in managing relationships at all levels.
• Strong written and oral communication skills.
• Proven problem solving and trouble shooting skills.
• Control-minded with strong attention to detail.
• Work effectively under pressure when confronted with tight deadlines.
• Ability and willingness to adapt to new challenges in a dynamic environment

Technical skills:

• Strong academic knowledge of linear financial products pricing (Forward, Futures, IR and FX Swaps,…) required
• Strong academic knowledge of option pricing models (Black Scholes, Binomial), volatility smile, curve construction required
• Familiarity with option greeks, their interpretation and graphs required
• Experience manipulating large datasets and running quality checks/ analysis
• Past or current positions with exposure to financial products pricing is a plus
• Working experience in VBA, SQL or Python is a plus
• Exposure to FX options and/or Latam markets is a plus
• Current participation in the CFA, FRM or similar programs is a plus