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EMEA Credit Risk Methodology - Vice President
Morgan Stanley
London, , United Kingdom
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Company Profile
Morgan Stanley is a leading global financial services firm providing a wide range of investment banking, securities, investment management and wealth management services. The Firm's employees serve clients worldwide including corporations, governments and individuals from more than 1,200 offices in 43 countries.
As a market leader, the talent and passion of our people is critical to our success. Together, we share a common set of values rooted in integrity, excellence and strong team ethic. Morgan Stanley can provide a superior foundation for building a professional career - a place for people to learn, to achieve and grow. A philosophy that balances personal lifestyles, perspectives and needs is an important part of our culture.
Department Profile
The EMEA Risk Management Division is responsible for the independent identification, analysis, reporting and escalation of all market, credit and operational risk exposures arising from UK Group business activities, acting independently of the business and providing an effective challenge process. The Credit Risk Methodology Group is responsible for development of credit models for exposure calculations, credit capital calculations and credit risk rating models for risk managements.
Primary Responsibilities
This position will report to Head of EMEA Credit Risk Methodology Group working closely with Global CRMG function in US. EMEA CRMG represents the function responsibilities in the EMEA region and specifically covers the UK Group entities. Particular focus is to ensure local regional and entity stake holder requirements, stands and practices are met across all Counterparty and Credit risk activities for which CRMG is responsible.
Core responsibilities include:
• Developing exposure methodologies, implementation of exposure models.
• Liaising with model developers on the enhancement of exposure methodologies.
• Monitoring and enhancing various Risk frameworks; Backtesting, RNIMM etc.
• Performing self-assessment for counterparty credit risk models and ensuring Morgan Stanley UK group remains complaint with IMM regulatory requirements.
• Supporting regulatory disclosures related to Internal Model Method (IMM).
• Coordinating regulatory responses with respect to the IMM methodology.
• Supporting Credit Risk Stress testing methodologies and framework.
• Working in advisory capacity to local and global risk managers and Front Office to ensure risk is appropriately captured in our systems.
• Supporting annual model validation of the exposure models.
Qualifications
Skills required (essential)
• Advanced degree (Msc or PhD), or equivalent, in a highly quantitative subject such as Mathematics, Physics, Finance or Engineering.
• Experience in a quantitative group at a Commercial, Investment Bank or a Consulting Firm.
• Strong analytical skills and experience with programming language ( Python, SQL, VBA)
• Experience with Monte Carlo simulation and numerical analysis.
• Experience with other programming languages (MATLAB, C++ and JAVA).
• Statistical skills (e.g probability theory, time series) and familiarity with statistical packages would be desirable.
• Excellent communication, written, presentation and relational skills.
Morgan Stanley is an equal opportunities employer. We work to provide a supportive and inclusive environment where all individuals can maximise their full potential. Our skilled and creative workforce is comprised of individuals drawn from a broad cross section of the global communities in which we operate and who reflect a variety of backgrounds, talents, perspectives and experiences. Our strong commitment to a culture of inclusion is evident through our constant focus on recruiting, developing and advancing individuals based on their skills and talents.