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Quantitative Risk Analyst, Credit Rating Analytics – Vice President
Morgan Stanley
London, , United Kingdom
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Description
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.
The Credit Rating Analytics Group is responsible for developing credit rating models to facilitate risk management and calculating credit risk capital.
Core responsibilities include:
• Develop new and review current credit rating models to facilitate counterparty rating by credit analysts.
• Develop new and review PD/LGD/EAD models for the Firm’s wholesale, securitization, and retail exposures.
• Interact regularly with credit analysts, capital teams, Model risk team, among others.
• Provide support to ensure compliance with current and new Regulatory requirements.
• Provide support to regulatory exams.
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 in the Financial Industry.
• Strong understanding of credit products and associated risks.
• Hands-on experience and solid skills of credit risk modeling.
• Proficiency in both econometric and mathematical modeling in Finance is desirable.
• Hands-on programming and database skills (Matlab, R, SAS, or SQL).
• Strong communication skills, including inter-personal and documentation skills.
• Familiarity with Basel rules and experience in working with regulators is desirable.
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.