C++ Analytic Developer - Counterparty Risk & Valuation – Associate
- London, England, United Kingdom
- Permanent, Full time
- Morgan Stanley
- 23 Aug 17
See job description for details
The Credit Valuation Adjustment (CVA) Technology team is responsible for developing Risk Management systems for the global CVA/FVA Trading Desk, also benefitting the firm's Credit Risk, Market Risk, Valuation Risk and Corporate Treasury departments. CVA Trader technology is using risk-neutral market model simulation and customized financial derivatives pricing models to efficiently value counterparty portfolios and compute potential exposures, credit valuation adjustment (CVA), funding valuation adjustment (FVA), liquidity valuation adjustment (LVA) and many other metrics for several large clients within the firm (global CVA desk, Credit Risk department, Treasury department, etc).
• Your role will involve development and support of global front-office global counterparty risk management system, CVA Trader, the primary tool for CVA trading desk to manage and hedge CVA (counterparty valuation adjustment).
• You will participate in development of CVA / funding / PE analytics and various infrastructural projects including high-performance grid computing, I/O scaling, etc.
• You will have the opportunity to work with various financial derivatives models and interact with CVA strats on development and maintenance of existing product pricers.
• You will be responsible for the full life-cycle of the project from requirements analysis to final implementation and rollout into production.
Skills required (essential):
• Strong C++ skills with thorough knowledge of STL, boost, design patterns and multi-threaded programming.
• Familiarity with one of the major databases: Sybase, DB2, SQL Server.
• Familiar with one of the leading scripting languages: Perl, Python, Scala.
• Comfortable programming in Linux environment and be familiar with ksh or bash.
• Familiarity with pricing of financial derivatives products.
• Familiarity with concurrent and generic programming concepts.
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.
The salary of this role is competitive.
The closing date for applications is 25/08/2017
Morgan Stanley is an equal opportunities employer. We work to provide a supportive and inclusive environment where all individuals can maximise their full potential. Our skilled and creative workforce is comprised of individuals drawn from a broad cross section of the global communities in which we operate and who reflect a variety of backgrounds, talents, perspectives and experiences. Our strong commitment to a culture of inclusion is evident through our constant focus on recruiting, developing and advancing individuals based on their skills and talents.