Morgan Stanley 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. The talent and passion of our people is critical to our continued success as a firm. Together, we share four core values rooted in integrity, excellence and strong team ethic: 1. Putting Clients First 2. Doing the Right Thing 3. Leading with Exceptional Ideas 4. Giving Back Morgan Stanley is committed to helping its employees build meaningful careers and we strive to be a place for people to learn, achieve and grow. Firm Risk Management Firm Risk Management (FRM) enables 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. Our mission is to serve as the follow roles: · Independent agent to set consistent principles and disciplines for risk management · Strategic advisor to Firm management for setting risk appetite and allocating capital · Industry leader to influence and meet regulatory standards You will collaborate with colleagues across FRM and the Firm to protect the Firm's capital base and franchise, advise businesses and clients on risk mitigating strategies, develop tools and methodologies to analyze and monitor risk, contribute to key regulatory initiatives and report on risk exposures and metrics to enable informed and strategic decision-making. Through thoughtful analysis and clear communication we are best able to bring our ideas to the table and improve the Firm. Firm Risk Management values diversity and is committed to providing a supportive and inclusive workplace for all employees. Firm Risk Management's unique franchise promotes: ü Flat, flexible and integrated global organization ü Collaboration and teamwork ü Credible, independent decision-making ü Organizational influence ü Creative and practical solutions ü Meritocratic and diverse culture Morgan Stanley is seeking a strong Vice President to join its Credit Risk Methodology team. Responsibilities Include: · Build models, design scenarios and implement tools for counterparty stress testing for both regulatory and risk management purposes. · Work closely with risk managers and front office & IT to remediate existing gaps in counterparty stress testing framework and perform analyses for topical stresses. · Perform quantitative model testing, validation, and enhancement for the counterparty credit risk exposure measurement models, including Monte Carlo simulation, pricing and valuation models, margining, netting and aggregation models. · Perform business analysis on the firm's existing system, data, model and processes within the context of risk management and regulatory implementation. · Evaluate counterparty exposure of proposed derivative trades that are too complex to be covered by the firm's exposure models in production. · Program, test and implement quantitative financial methods using C++, VBA, Matlab, and SQL. Utilize advanced statistics and mathematics skills including options pricing theory, stochastic calculus, Monte Carlo simulation, numerical analysis and optimization techniques, probability theory, and time series analysis.
Qualifications: · Good communication skills and articulation abilities of both verbal and written are desired. · Advanced degree (M.S. or PhD) in a quantitative discipline, e.g., economic, mathematics, or finance with a quantitative undergraduate background. · 5 to 7 years work experience in counterparty risk modelling team. · Strong cross-asset product knowledge and familiarity with financial markets. · In-depth knowledge of option pricing and stochastic calculus and Monte Carlo simulation. · Strong programming skills in C++, Python, Matlab/R. · Statistical skills (e.g., probability theory, time series analysis) and facility with statistical packages would be desirable but are not required.
Internal Number: 5207569
About Morgan Stanley USA
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