Morgan Stanley - Time Series Analyst - Global Risk Analytics Platform

The successful candidate will join the newly formed Global Risk Analytics Platform and Delivery (RAPD) team, part of the Risk Analytics (RA) group, a leading group of word class quantitative analysts responsible for Risk Models Research and Development in the Firm Risk Management (FRM) Division of Morgan Stanley. As quantitative developers in the RAPD team you will partner with Risk Analytics quantitative analysts, Risk Managers, Technology and Front Office Quants Teams to build, support and utilize a newly developed Risk Model Development Platform. The platform supports new risk model development as well as functional enhancements to existing risk models.

Your job will be a mixture of:

- Designing the architecture and implementing software components of a new Model Development Platform

- Developing cutting-edge software libraries and APIs for quantitative modelers,

- Contributing to model implementation & code optimization

- Gaining exposure to and experience with APIs into Front Office library components written in different languages and using different technologies

- Participating in high level design discussions, design reviews and peer reviews

- Interacting with quantitative analysts, end-users, business analysts and product owners around the globe (New York, London, Hong Kong, etc.) to gather user stories and clarify requirements

- Owning or contributing to tools development

- Defining and setting up the relevant software development process and its tooling

- Collaborating with Risk Technology teams to specify and implement APIs for Risk Applications implemented in Java

- Defining test cases and implementing unit and/or integration tests

- Working with production support teams and users to resolve escalated cases

We need you to have:

1. Understanding of VaR - various methodologies, how to calculate/analyse the same

2. Knowledge of market risk factors, mkt risk timeseries

3. Knowledge of asset class(any one atleast) - IR (Int Rate), Fx, Equity, Commodity, Derivatives

4. Knowledge of Greeks preferable

5. IT knowhow - SQL, Python, VBA