Executive Director, Risk/ Policy Management

Morgan Stanley • New York, NY

3d • $221,000 - $275,000 • Hybrid

About The Position

Morgan Stanley Services Group Inc. is seeking an Executive Director, Risk/ Policy Management in New York, New York to develop and enhance the counterparty credit risk methodologies by developing models for portfolio analytics purposes. Support the internal model approval processes with the regulators. Develop exposure methodologies and implement exposure models in CVAT system. Liaise with model developers on the enhancement of exposure methodologies in CVAT system. Develop, benchmark, backtest, and test the Dynamic Initial Margin model in CVAT system. Monitor and enhance various Risk frameworks. Develop Backtest Risk Not in Internal Model Method (RNIMM) in CVAT system. Perform self-assessment for counterparty credit risk models. Support regulatory disclosures related to Internal Model Method (IMM). Coordinate regulatory responses with respect to the IMM methodology. Work in advisory capacity to local and global risk managers and Front Office to ensure risk is appropriately captured in our systems. Support annual model validation of the exposure models. Telecommuting permitted up to 2 days per week.

Requirements

• Master’s in Computer Science, Computer Engineering, or a related field of study.
• Three (3) years of experience in the position offered or three (3) years as a Vice President, Risk Management, Equity Pricing Senior Quantitative Analyst Manager, Quantitative Analyst, Software Developer, or a related role.
• Three (3) years of experience with applying stochastic calculus for derivative pricing and risk factor simulation model for potential future exposure modelling.
• Three (3) years of experience with evaluating derivative products and pricing for counterparty credit risk exposure modelling.
• Three (3) years of experience with analyzing statistical null hypothesis testing for counterparty credit risk backtesting modelling.
• Three (3) years of experience with analyzing statistical linear and non-linear regression for the purpose of potential future exposure modelling.
• Three (3) years of experience leveraging potential future exposure modeling for counterparty credit risk.
• Three (3) years of experience with applying internal modeling methods expertise.
• Three (3) years of experience with Monte Carlo simulation for the purpose of exotic derivative pricing and potential future exposure modeling for counterparty credit risk.
• Three (3) years of experience with Python.
• Three (3) years of experience with C++.
• Three (3) years of experience with Dynamic initial margin modeling.
• Three (3) years of experience with Potential future exposure backtesting method.
• Three (3) years of experience utilizing securities financing transactions product knowledge.

Responsibilities

• Develop and enhance the counterparty credit risk methodologies by developing models for portfolio analytics purposes.
• Support the internal model approval processes with the regulators.
• Develop exposure methodologies and implement exposure models in CVAT system.
• Liaise with model developers on the enhancement of exposure methodologies in CVAT system.
• Develop, benchmark, backtest, and test the Dynamic Initial Margin model in CVAT system.
• Monitor and enhance various Risk frameworks.
• Develop Backtest Risk Not in Internal Model Method (RNIMM) in CVAT system.
• Perform self-assessment for counterparty credit risk models.
• Support regulatory disclosures related to Internal Model Method (IMM).
• Coordinate regulatory responses with respect to the IMM methodology.
• Work in advisory capacity to local and global risk managers and Front Office to ensure risk is appropriately captured in our systems.
• Support annual model validation of the exposure models.

Benefits

• Comprehensive employee benefits and perks in the industry
• Ample opportunity to move about the business for those who show passion and grit in their work.

What This Job Offers

• Job Type: Full-time
• Career Level: Executive