Risk Analytics Internal Models Method, Director, Firm Risk Management

Morgan Stanley

Counterparty credit risk methodologies
Exposure calculations
Model recalibrations
Build, transform and implement models for exposure calculations along all asset classes, including research, development, enhancement, and documentation of IMM Counterparty credit risk methodologies and tools for regulatory and risk management purposes

Job Summary

  • Build, transform and implement models for exposure calculations along all asset classes, including research, development, enhancement, and documentation of IMM Counterparty credit risk methodologies and tools for regulatory and risk management purposes.
  • Perform analysis including model recalibrations, back-tests, stress tests, scenario, and sensitivity analyses, and support risk management teams with information and analysis.
  • Morgan Stanley offers an opportunity to work alongside the best and the brightest in an environment where you are supported and empowered, with ample opportunity to move about the business for those who show passion and grit.

Matching Summary

Build, transform and implement models for exposure calculations along all asset classes, including research, development, enhancement, and documentation of IMM Counterparty credit risk methodologies and tools for regulatory and risk management purposes.

Skills & Requirements

Must-have

  • Counterparty credit risk methodologies
  • Exposure calculations
  • Model recalibrations
  • Python programming library
  • Financial traded products
  • Stochastic calculus

Nice-to-have

  • High standards for quality
  • Attention to details
  • Work with virtual teams
  • Fast-paced environment

Key Requirements

  • MSc. or PhD in quantitative area
  • Solid mathematical foundations
  • Advanced statistics, econometrics and mathematics skills
  • Knowledge of programming languages Python, MATLAB, C# or C++
  • Excellent communication skills

Work Rights

Not specified

Tailored Resume

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