Risk Analytics (Risk Management) : Job Level - Vice President
About The Position
Firm Risk Management supports Morgan Stanley to achieve its business goals by partnering with business units across the Firm to realize efficient risk-adjusted returns, acting as a strategic advisor to the Board and protecting the Firm from exposure to losses as a result of credit, market, liquidity, operational, model and other risks. Background on the Position The role will reside within the Firm Risk Management's Risk Analytics area. Risk Analytics develops market risk analytics, credit risk analytics, operational risk analytics and scenario analytics models providing quantitative analysis on the Firm's risk exposures. By developing mathematical and statistical models with risk overlays, Risk Analytics calculates the risks associated with specified sets of financial positions and day-to-day operations. Morgan Stanley is seeking a strong VP level candidate to join its Credit Exposure Methodology Group (CEMG), in FRM's Risk Analytics . The CEMG is responsible for the development of Counterparty Credit Risk Models used for both regulatory capital calculations and internal risk management. This role will be within the CEMG US team, reporting to the US Head of CEMG based in New York City, focused on internal and regulatory initiatives in the US and working closely with the global CEMG function in the UK/EU, Budapest and Mumbai. This individual will work closely with the various groups within the Credit Risk Management Department, Model Risk Management, Technology and Risk Governance in developing these counterparty credit risk models.
Requirements
- Applicants must have either graduated from a four-year accredited university with a quantitative major such as Math / Physics / Statistics / Econometrics /Engineering / Computer Science.
- 5 to 10 years work experience in a quantitative research group at a commercial bank, investment bank, or consulting firm
- Quantitative skills especially in the area of Monte Carlo simulation, derivatives pricing, hypothesis testing and regression
- Strong skills in communication, critical thinking, and problem solving and collaboration
- Curious about risk management, financial products, markets, and regulation
- An interest in a fast-paced environment, often balancing multiple high priority deliverables
- Strong attention to detail and ability to provide information in usable formats
- Familiarity with coding languages
Responsibilities
- Develop, enhance and maintain Counterparty Credit Risk (CCR) methodology.
- Develop models for portfolio analytics purpose, such as credit limit setting and stress limit setting.
- Write high-quality model documentation that satisfies the firm's internal model approval functions, audit requirements, and the Firm's regulators (e.g., FRB, OCC, SEC, etc.).
- Closely work with other teams within FRM to provide regular ongoing model performance assessments, hypothetical risking analysis and override monitoring. Review analysis results with senior management and provide recommendations.
- Working in an advisory capacity with local/global risk managers and Front Office stakeholders to ensure risk is appropriately captured.
- Develop analytical tools to support to other teams within Firm Risk Management.
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What This Job Offers
Job Type
Full-time
Career Level
Mid Level
Number of Employees
5,001-10,000 employees
