Senior Quantitative Lead-Counterparty Credit Risk Exposure

Firm Risk Management
Firm Risk Management 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 the Firm Risk Management's Risk Analytics area. Risk Analytics develops market risk analytics, credit risk analytics, operational risk analytics and scenario analytics models providing quantitative analysis on the Firm's risk exposures. By developing mathematical and statistical models with risk overlays, Risk Analytics calculates the risks associated with specified sets of financial positions and day-to-day operations.

Morgan Stanley is seeking a strong VP level candidate to join its Credit Exposure Methodology Group (CEMG), in FRM's Risk Analytics . The CEMG is responsible for the development of Counterparty Credit Risk Models used for both regulatory capital calculations and internal risk management. This role will be within the CEMG US team, reporting to the US Head of CEMG based in New York City, focused on internal and regulatory initiatives in the US and working closely with the global CEMG function in the UK/EU, Budapest and Mumbai.

This individual will work closely with the various groups within the Credit Risk Management Department, Model Risk Management, Technology and Risk Governance in developing these counterparty credit risk models.

Primary Responsibilities
- Develop, enhance and maintain Counterparty Credit Risk (CCR) methodology.
- Develop models for portfolio analytics purpose, such as credit limit setting and stress limit setting.
- 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, SEC, etc.).
- Closely work with other teams within FRM to provide regular ongoing model performance assessments, hypothetical risking analysis and override monitoring. Review analysis results with senior management and provide recommendations.
- Working in an advisory capacity with local/global risk managers and Front Office stakeholders to ensure risk is appropriately captured.
- Develop analytical tools to support to other teams within Firm Risk Management. Experience
Applicants must have either graduated from a four-year accredited university with a quantitative major such as Math / Physics / Statistics / Econometrics /Engineering / Computer Science.
- 5 to 10 years work experience in a quantitative research group at a commercial bank, investment bank, or consulting firm
- Quantitative skills especially in the area of Monte Carlo simulation, derivatives pricing, hypothesis testing and regression
- Strong skills in communication, critical thinking, and problem solving and collaboration
- Curious about risk management, financial products, markets, and regulation
- An interest in a fast-paced environment, often balancing multiple high priority deliverables
- Strong attention to detail and ability to provide information in usable formats
- Familiarity with coding languages

Firm Risk Management values diversity and is committed to providing a supportive and inclusive workplace for all employees.

This role is hybrid and currently requires in office attendance 3 days/week. The in office requirement is subject to change at any time.

WHAT YOU CAN EXPECT FROM MORGAN STANLEY:

At Morgan Stanley, we raise, manage and allocate capital for our clients – helping them reach their goals. We do it in a way that’s differentiated – and we’ve done that for 90 years. Our values - putting clients first, doing the right thing, leading with exceptional ideas, committing to diversity and inclusion, and giving back - aren’t just beliefs, they guide the decisions we make every day to do what's best for our clients, communities and more than 80,000 employees in 1,200 offices across 42 countries. At Morgan Stanley, you’ll find an opportunity to work alongside the best and the brightest, in an environment where you are supported and empowered. Our teams are relentless collaborators and creative thinkers, fueled by their diverse backgrounds and experiences. We are proud to support our employees and their families at every point along their work-life journey, offering some of the most attractive and comprehensive employee benefits and perks in the industry. There’s also ample opportunity to move about the business for those who show passion and grit in their work.

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Expected base pay rates for the role will be between $120,000 and $200,000 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).