Analyst – Traded Credit Risk And Capital Model Validation

Firm Risk Management

Firm Risk Management (FRM) supports Morgan Stanley to achieve its business goals by partnering with business units across the Firm to realize efficient risk-adjusted returns, acting as a strategic advisor to the Board and protecting the Firm from exposure to losses as a result of credit, market, liquidity, model and other risks.

Background on the Position

This role will reside within Firm Risk Management's Model Risk Management team responsible for the Firm's management of risks related to the implementation and use of models, covering all aspects of the Firm's businesses, and implementing key regulatory requirements. This position requires strong technical and organizational skills.

Primary Responsibilities

• Provide independent review and risk management of Market Risk models for traded credit products including understanding of financial mathematics for simulation models. The role will also cover independent review of Capital models.
• Well organized and results oriented to play active part for new regulatory initiatives (e.g. FRTB, SA-CCR and CCAR)
• Monitor on-going model risk, including staying up to date with market trends, credit conditions and regulatory environment.
• Verbally communicate validation results, challenges and methodologies with internal audiences including senior management.
• Write validation reviews in technical documents that will be presented both internally (model developers, credit risk managers) as well as regulators including FRB, PRA, OCC and other regional regulators.

Experience

• Understanding of Risk models, Pricing or Validation is a plus.
• Programming skills such as Python, Matlab, R, SQL
• Exposure to and experience in financial markets, products and businesses.
• Statistical skills especially in the area of regression, time series, Monte Carlo simulation, etc.
• Masters degree in a technical or finance-related area such as Mathematical Finance, Math/Statistics, Physics, Operational Research or related fields.
• Familiarity with essential quantitative techniques used in financial and econometric models.

FRM is committed to creating and providing opportunities that enable our workforce to reflect diverse backgrounds and views Click here to have a firsthand look at Morgan Stanley Firm Risk Management!

Expected base pay rates for the role will be between 68000 and 90000 per year at the commencement of employment. However, base pay if hired will be determined on an individualized basis and is only part of the total compensation package, which, depending on the position, may also include commission earnings, incentive compensation, discretionary bonuses, other short and long-term incentive packages, and other Morgan Stanley sponsored benefit programs.

Morgan Stanley's goal is to build and maintain a workforce that is diverse in experience and background but uniform in reflecting our standards of integrity and excellence. Consequently, our recruiting efforts reflect our desire to attract and retain the best and brightest from all talent pools. We want to be the first choice for prospective employees.

It is the policy of the Firm to ensure equal employment opportunity without discrimination or harassment on the basis of race, color, religion, creed, age, sex, sex stereotype, gender, gender identity or expression, transgender, sexual orientation, national origin, citizenship, disability, marital and civil partnership/union status, pregnancy, veteran or military service status, genetic information, or any other characteristic protected by law.

Morgan Stanley is an equal opportunity employer committed to diversifying its workforce (M/F/Disability/Vet).

Posting Date

Apr 18, 2023

Primary Location

Americas-United States of America-New York-New York

Education Level

Bachelor's Degree

Job

Model Risk

Employment Type

Full Time

Job Level

Analyst