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Vice President - FRTB and Market Risk Analytics
Morgan Stanley
New York, NY, United States
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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 cornerstone of Morgan Stanley’s risk management philosophy is the execution of risk-adjusted returns through prudent risk-taking that protects Morgan Stanley’s capital base and franchise. Risk Management protects the firm from exposure to losses resulting from defaults by our lending and trading counterparties.
Background on the Position
The role is as part of the global Market Risk Methodology Group of Morgan Stanley. The group is responsible for the Firm’s market risk models under the proposed Fundamental Review of the Trading Book (FRTB) rules such as the Expected Shortfall, Default Risk Charge and the Non-Modellable Risk Factor charges. The group is also responsible for developing, maintaining and monitoring market Risk Models under the Basel 2.5 rules such as Value at Risk (VaR), Incremental Risk Charge (IRC) and Comprehensive Risk Measure (CRM). The group also develops forecasts for risk measures under stress scenarios such as CCAR, market risk management or other 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.
Primary Responsibilities
The main responsibilities are:
• Coordinate and Lead research, development and enhancement of market risk models and methodologies as required by FRTB and Basel 2.5.
• Lead engagements with Front Office Quantitative Specialists to incorporate Front-Office model changes in Interest Rates, Credit, Equity, Foreign exchange, Securitizations and Counterparty valuation pricing systems into market risk models. This also involves coordination with various groups like Risk managers and IT for integration of new products and risks into official and internal risk numbers.
• Provide quantitative analysis and explanations to senior management on impacts of model and market changes to outputs.
• Apply stochastic and econometric techniques to support methodology development and validation. Perform back-tests, stress tests, scenario analyses and sensitivity studies
• Oversee implementation of model changes in IT production environment
• Oversee daily production of all market risk models. This involves diagnosing and fixing production issues that are critical to producing Firm’s daily market risk numbers. Automation of production processes to reduce operational risk.
• Ongoing updates and calibrations of market risk models and methodologies to reflect the current market conditions.
• Participate in Regulatory and validation exams by coordinating and providing responses to regulators and internal validators on market risk models related issues.
• Assisting risk managers on model based questions and analysis. Conduct on-demand analyses of model changes and impact of new positions
Qualifications
Education required (essential)
• Master’s degree in Engineering, Finance, Statistics, Business Administration, or related field of study + 3 Years of relevant work experience.
• Or Bachelor’s degree in Engineering, Finance, Statistics, Business Administration, or related field of study + 5 Years of relevant work experience.
Skills required (essential)
• Proficiency in SQL or other database query languages and a high level computer language like R, C++, Python, Scala.
• Ability to manage projects and deliver results under demanding timelines
• Analytical thinking and problem solving skills
• Ability to present complex issues clearly, both verbally and in writing, is essential
• Attention to detail and the ability to work thoughtfully and independently and manage multiple projects
Skills desired
• Familiarity with pricing models in the Equities, Credit, Rates and FX asset classes.
• Familiarity with regulatory documentation and rules like FRTB and Basel 2.5