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Credit Risk Methodology Quantitative Analyst (Vice President)
Morgan Stanley
New York, NY, United States
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Description
JOB:
Morgan Stanley & Co. LLC seeks a Credit Risk Methodology Quantitative Analyst (Vice President) in New York, New York to
JOB DESCRIPTION:
Develop and enhance stress testing methodology to satisfy various regulatory requirements. Conduct statistical analysis of the underlying data, such as regression and time series analyses, and understand the various macroeconomic factors and risk factors that impact the credit quality of portfolios. Develop and enhance credit risk models for Allowance for Credit Loss (ACL) to satisfy both accounting standards and regulatory requirements. Develop models for portfolio analytics purpose, such as credit limit setting and loss reserve. Write high-quality model documentation that satisfies the firm’s internal model approval functions, audit requirements, and the Firm’s regulators. Closely work with other teams within Credit Department to provide regular ongoing model performance assessments, rating analysis and override monitoring. Review analysis results with senior management and provide recommendations. Develop analytical tools to support to other teams within Credit Department.
Qualifications
REQUIREMENTS:
Requires a Master’s degree in Mathematics, Statistics, Economics, Finance, Physics, or related quantitative field of study and 5 years of experience in the position offered or as an Analyst, Risk Consultant, Researcher, or related occupation. Employer will accept a PhD in Mathematics, Statistics, Economics, Finance, Physics, or related quantitative field of study and 2 years of experience in the position offered or as an Analyst, Risk Consultant, Researcher, or related occupation in lieu of a Master’s degree and 5 years of experience. Position requires at least 2 years of experience in a quantitative research group at a commercial bank, investment bank, or consulting firm, with industry experience in developing and validating quantitative models including derivatives pricing models and PD/LGD/EAD models for CCAR and Basel use cases. Position requires statistical experience with hypothesis testing, regression and its diagnostics, time series analysis, discriminant analysis, and Black-Schole models; experience with two of the following statistical programming environments: MATLAB, SAS, STATA or R; and experience with SQL and VBA.
QUALIFIED APPLICANTS: To apply, visit us at http://www.morganstanley.com/about/careers/careersearch.html Scroll down and enter “3083523” as the “Job Number” and click “Search jobs.” No calls please. EOE