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Vice President, Credit Risk Methodology Quantitative Analyst
Morgan Stanley
New York, NY, United States
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Description
Morgan Stanley Services Group Inc. seeks a Vice President, Credit Risk Methodology Quantitative Analyst in New York, New York
Develop credit risk models related to stress testing, Allowance for Credit Loss (ACL), portfolio analytics, and credit limit setting. Work closely with the various groups within the Credit Risk Management Department in developing these credit risk models related to both wholesale and retail portfolios. Develop and enhance stress testing methodology to satisfy various regulatory requirements (CCAR/DFAST/ICAAP).
This requires thorough statistical analysis of the underlying data, such as regression and time series analyses, and understanding of the various macroeconomics 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 (e.g. FRB, OCC, and PRA). 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 Statistics, Economics, Finance, Physics, Mathematics, or closely related quantitative field of study and four (4) years of experience in the position offered or four (4) years of experience as a Vice President or related occupation in a quantitative research group. Will accept a PhD and two (2) years of experience in lieu of a Master’s degree and four (4) years of experience. Requires two (2) years of experience in a quantitative research group at a commercial bank, investment bank, or consulting firm. Requires two (2) years of experience with statistics including hypothesis testing, regression, and discriminant analyses; statistical packages including SAS, R, or Matlab; SQL; VBA; interacting with regulators; credit risk models including stress testing models and state transition model development; and numerical analysis.
Qualified Applicants:
To apply, visit us at http://www.morganstanley.com/about/careers/careersearch.html Scroll down and enter 3096537 as the “Job Number” and click “Search jobs.” No calls please. EOE