Market Risk Methodology Quantitative Analyst

Morgan Stanley

Posting Date

Feb 14, 2016

Primary Location

Europe, Middle East, Africa-Hungary-Budapest-Budapest

Job

Market Risk Full Time Associate

Description

Position Summary

 

The successful candidate will be part of the global Market Risk Methodology Group with bases in New York, London, Mumbai and Budapest, and will work closely with the London team on research and development of market risk models.

Risk Analytics Department – Market Risk Methodology Group
The group is responsible for developing, maintaining and monitoring the Firm’s market risk models such as Value at Risk, Incremental Risk Charge and Comprehensive Risk Measure. The group also develops stress tests and other methods required for market risk management or regulatory purposes.

 

Primary Responsibilities:

 

- Participate in research and development of the market risk models
- Perform econometric analyses to support methodology development
- Perform backtests, stress tests, scenario analyses and sensitivity studies
- Oversee implementation of model changes
- Conduct on-demand analyses of model changes
- Perform data analyses for various purposes
- Liaise with the global teams

Qualifications

Skills desired:

 

- Advanced degree or equivalent background in a quantitative discipline such as economics, econometrics, statistics, mathematics, physics or engineering
- Solid statistical knowledge
- Familiarity with some of the following market risk models: VaR, IRC, CRM
- Familiarity with financial markets and products is a plus
- Familiarity with the Basel framework is a plus
- Programming skills in a high-level language such as Matlab, familiarity with SQL and VBA
- Sound knowledge of Microsoft Office, proficiency in MS Excel
- Clear thinking, good business sense and judgment
- Team player with strong interpersonal and communication skills
- Excellent command of English, both written and verbal

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