Cross-Asset Market Risk Modeling Specialist
About The Position
Morgan Stanley is seeking a Vice President in its Market Risk Analytics (MRA) group. The MRA group develops, maintains and monitors the performance of market risk (VaR, Stressed VaR, IRC and CRM) and stress testing models (including market shocks for scenario design, stress loss) for Morgan Stanley's portfolio of assets, as required by the regulatory framework and the Firm's risk management needs. > The position requires the ability to engage in research, model development, and analysis to support MRA's suite of market risk models used for internal risk management and for regulatory capital and compliance. > The role will encompass development of analytics and their implementation using an array of internal and external technologies, including direct programming of solutions. > Candidate must have the ability to communicate effectively and function collaboratively in group settings. > Responsibilities include responding to risk managers, model risk, audit, and regulatory requests on a timely and accurate basis and working closely with other departments. > The position requires interacting with various Risk departments within the Firm including Market Risk Management, Model Risk, Risk IT, Risk Capital and other partnering teams.
Requirements
- Requires a Master's or higher degree in a quantitative field such as Mathematics, Statistics, Mathematical Finance, Physics, Computer Science, or Engineering
- At least 5 years of relevant work experience
- Knowledge of market risk modelling methodologies (Greek-based value-at-risk (VaR), stressed VaR, and incremental risk charge) required
- Strong programming skills (Python) is essential to role
- Strong communication, leadership and project management skills (role requires effective collaboration and consensus-building across a range of functional groups)
- Analytical thinking and problem solving skills
- Ability to present complex issues clearly, both verbally and in writing, is essential
- Attention to detail and the ability to work thoughtfully and independently and manage multiple projects
Responsibilities
- Engage in research, model development, and analysis to support MRA's suite of market risk models used for internal risk management and for regulatory capital and compliance.
- Development of analytics and their implementation using an array of internal and external technologies, including direct programming of solutions.
- Communicate effectively and function collaboratively in group settings.
- Responding to risk managers, model risk, audit, and regulatory requests on a timely and accurate basis and working closely with other departments.
- Interacting with various Risk departments within the Firm including Market Risk Management, Model Risk, Risk IT, Risk Capital and other partnering teams.
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What This Job Offers
Job Type
Full-time
Career Level
Mid Level
Number of Employees
5,001-10,000 employees
