Risk Analytics (Risk Management) : Job Level - Vice President

Morgan Stanley • New York, NY

135d • $120,000 - $200,000

About The Position

The role is within Firm Risk Management's Risk Analytics. Risk Analytics develops market risk, credit risk and scenario analytics models. These mathematical and statistical models provide an overall calculation of market risk across asset classes (e.g. equities, interest rate instruments), the calculation of risk in a time of increased economic stress (i.e. stress testing), and the generation of scenarios associated with increased economic stress. Morgan Stanley is seeking a Vice President to join the Market Risk Analytics Stress RWA Models Team as a methodology owner/contributor to the Stress RWA family of models. The Stress RWA models are used to project VaR-, Stressed VaR-, IRC-, and RNIV-based capital under stressed market conditions within the context of annual CCAR exercises, quarterly stress testing, and Recovery & Resolution Planning (RRP) exercises. The New Hire will be responsible for all aspects of model ownership including methodology design, calibrations, testing, monitoring, model risk validation work, executing model enhancements, and model documentation. New Hire will also contribute to the development of Python libraries used to perform associated analytics for this family of models.

Requirements

• Requires a Master's degree in a quantitative field such as Quantitative Finance, Physics, Mathematics, Engineering, Computer Science
• Five (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 Python programming skills and packages used for data manipulation, time series and data analysis strongly preferred
• Trading markets knowledge within the FX, rates, credit, equity, commodity space strongly preferred
• Strong written and verbal communication skills essential
• Project organizational competency and team leadership skills essential

Responsibilities

• Contribute to all aspects of model ownership - methodology design, calibrations, testing, monitoring, model validations, model enhancements, and methodology documentation
• Effectively collaborate with the Capital Team, Risk IT Team, Model Risk Management, and other partnering areas to deliver on stress testing exercises and execute strategic enhancements to the models
• Develop Python analytical code for testing and performance monitoring of Stress RWA models
• Run model monitoring analytics, and present results to Model Risk Management, and relevant governance forums
• Effectively represent/communicate modelling methodology and output analytics to a wider audience of stakeholders, senior managers, and governance forums

Benefits

• Comprehensive employee benefits and perks
• Opportunities for career advancement within the company
• Support for employees and their families at every point along their work-life journey

What This Job Offers

• Job Type: Full-time
• Career Level: Senior
• Industry: Securities, Commodity Contracts, and Other Financial Investments and Related Activities
• Education Level: Master's degree
• Number of Employees: 5,001-10,000 employees