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Vice President, Risk Management
Morgan Stanley
New York, NY, United States
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Description
JOB:
Morgan Stanley Services Group Inc.’s seeks a Vice President, Risk Management in New York, New York
Serve as part of the global Market Risk Methodology group of Morgan Stanley. This group is responsible for developing, maintaining, and monitoring the Firm’s market risk models such as Value at Risk (VaR), Incremental Risk Charge (IRC), and comprehensive Risk Measure (CRM). The group also develops stress tests and other methods required for market risk management or regulatory purposes. This role involves market risk modeling and statistical analysis of Morgan Stanley’s portfolios for the Market Risk Department. This includes development, implementation, and production of all regulatory and internal market risk Models. The main responsibilities of this role are as follows: Research, develop, and enhance market risk models and methodologies. Apply stochastic and econometric techniques to support methodology development and validation. Perform back-tests, stress tests, scenario analyses, and sensitivity studies. Implement model changes in the IT production environment. Incorporate Front-Office changes in Interest Rates, Credit, Equity, Foreign Exchange, Securitizations, and Counterparty valuation pricing systems into market risk models. This involves liaising with Front-Office Desk Strategists, Risk Managers, and IT for integration of new products and risks into official and internal risk numbers. Oversee daily production of all market risk models. This involves diagnosing and fixing production issues that are critical to producing the Firm’s daily market risk numbers. Automate production processes to reduce operational risk. Update and calibrate market risk models and methodologies to reflect the current market conditions including overseeing the weekly benchmarks update process to reflect the largest market data. Participate in Regulatory and Validation exams by providing documentation and responses to regulators and internal validators on market risk model related issues. Assist risk managers on model based questions and analysis. Conduct on-demand analyses of model changes and impact of new positions.
Qualifications
Requirements:
Requires a Bachelor’s degree in Engineering, Finance, Statistics, Business Administration, or related field of study and five (5) years of experience in the position offered or five (5) years of experienced as a Manager, Senior Manager, Deputy Manager, Associate, or related occupation. Employer will accept a Master’s degree and three (3) years of experience in lieu of a Bachelor’s degree and five (5) years of experience. Requires three (3) years of experience in a risk management or quantitative modeling capacity. Requires work experience using statistics. Requires experience using high-level programming languages for research such as Matlab, R, Stata, or SAS. Requires experience with Microsoft Excel and VBA. Requires experience with databases and SQL. Requires experience with financial markets and traded products; risk management concepts including VaR, stress tests, IRC, CRM, scenario modeling, hypothetical back-testing, and the risk representation of various portfolios; and technical architecture around market risk management. Requires experience working with large datasets and underlying data challenges.
QUALIFIED APPLICANTS:
To apply, visit us at http://www.morganstanley.com/about/careers/careersearch.html Scroll down and enter 3083619 as the “Job Number” and click “Search jobs.” No calls please. EOE
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