Vice President, Risk/ Policy Management

Morgan Stanley•New York, NY

4d•Onsite

About The Position

Morgan Stanley Services Group, Inc. is seeking a Vice President, Risk/ Policy Management in New York, New York to develop, implement, and maintain quantitative market risk models to measure and monitor the Firm’s exposure to Equity and related asset classes. Apply mathematical and statistical techniques to support Value at Risk (VaR), Full Revaluation VaR, Expected Shortfall, stress testing, and Risk Not in VaR (RNIV) frameworks in line with regulatory and internal risk management requirements. Support development of new models under the Fundamental Review of the Trading Book (FRTB) framework. Perform quantitative analysis, backtesting, and sensitivity analysis to evaluate model performance and investigate changes in risk metrics driven by market movements, portfolio changes, or model enhancements. Design and execute model testing plans for large scale strategic model developments. Support model development and maintenance activities, including risk factor identification, calibration, and data validation. Develop and maintain analytical tools and automated workflows in a production environment and prepare technical documentation for model changes and ongoing governance. Collaborate with Front Office, Risk Management, Model Risk Management, and Technology teams to support model development, implementation, model validation, analysis, audit requests, and regulatory inquiries.

Requirements

Master’s in Actuarial and Financial Mathematics, or a related field
Three (3) years of experience in the position offered or three (3) years as an Associate, Analyst Market Risk Analytics, or a related role
Three (3) years of experience utilizing quantitative finance knowledge of derivative pricing
Three (3) years of experience applying probability, statistics, and stochastic processes, to financial risk modeling
Three (3) years of experience with Equity markets and equity products
Three (3) years of experience applying knowledge of regulatory market risk frameworks, including Basel standards and the Fundamental Review of the Trading Book (FRTB)
Three (3) years of experience conducting time series analysis
Three (3) years of experience with programming skills in Python, including development of production quality analytical code
Three (3) years of experience with market risk modeling expertise, including Value at Risk (VaR), Full Revaluation VaR, Expected Shortfall, and Risk-not-in-VaR framework
Three (3) years of experience analyzing changes in risk metrics driven by market movements, portfolio changes, or model updates
Three (3) years of experience with relational databases and SQL for data extraction and analysis
Three (3) years of experience with documentation of mathematical models
Three (3) years of experience working with large financial datasets, including data validation

Responsibilities

Develop, implement, and maintain quantitative market risk models.
Measure and monitor the Firm’s exposure to Equity and related asset classes.
Apply mathematical and statistical techniques to support VaR, Full Revaluation VaR, Expected Shortfall, stress testing, and RNIV frameworks.
Support development of new models under the FRTB framework.
Perform quantitative analysis, backtesting, and sensitivity analysis.
Evaluate model performance and investigate changes in risk metrics.
Design and execute model testing plans for large scale strategic model developments.
Support model development and maintenance activities, including risk factor identification, calibration, and data validation.
Develop and maintain analytical tools and automated workflows in a production environment.
Prepare technical documentation for model changes and ongoing governance.
Collaborate with Front Office, Risk Management, Model Risk Management, and Technology teams.