Jun 21, 2022
Europe, Middle East, Africa-United Kingdom-United Kingdom-London Master's Degree
Risk Analytics Full Time Vice President
Division: Firm Risk Management
Role: Risk Analytics
Level: Vice President
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, operational, model and other risks.
Background on the Position
The role will reside within Firm Risk Management?s Risk Analytics Department, specifically the Counterparty Exposure Methodology Group (CEMG). The CEMG is responsible for the development of the Internal Model Method (IMM) counterparty exposure models used for regulatory capital calculations and internal risk management. This role will be within the EMEA CEMG team, reporting to the EMEA Head of CEMG based in London, focused on IMM counterparty exposure models and working closely with the global CEMG function in the US, Budapest and Mumbai. The EMEA CEMG focuses on ensuring that regional / legal entity requirements, standards and practices are met across all counterparty risk activities for which CEMG is responsible.
Developing, testing and maintaining IMM counterparty exposure model and methodologies across asset classes (e.g. market factor simulation models, derivative pricing models, margining models etc.)
Performing assessment of counterparty credit risk models to ensure that Morgan Stanley remains compliant with regulatory requirements from both PRA and ECB perspectives for the Internal Model Method (IMM)
Supporting the IMM model monitoring processes, regulatory disclosures related to IMM and the internal validation and audit of the IMM models
Responsible for regulatory exams/requests with respect to the IMM methodology (PRA and ECB)
Working in an advisory capacity with local/global risk managers and Front Office stakeholders to ensure risk is appropriately captured
FRM is committed to creating and providing opportunities that enable our workforce to reflect diverse backgrounds and views.
PHD, MSc or equivalent in a highly quantitative subject such as mathematics, physics, engineering, statistics or computing science
Deep understanding of derivative pricing models and stochastic calculus
Strong analytical and programming skills (e.g. Python, C++)
Modelling experience on Counterparty Credit Risk, XVA or relevant validation
Ability to effectively communicate with a wide range of stakeholders, both written and verbally
An interest in working in a fast-paced environment, often balancing multiple high priority deliverables
Ability to work independently in a self-directed way in a collaborative, team-oriented environment
Experience with Monte Carlo simulation and numerical analysis (preferred)