Risk Analytics Internal Models Method, Director, Firm Risk Management

Morgan Stanley UK

Mumbai, India
Counterparty credit risk methodologies
Exposure calculations across asset classes
Model recalibrations, back-tests, stress tests
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 across asset classes
  • Model recalibrations, back-tests, stress tests
  • Python programming for production
  • Financial traded products knowledge
  • Quantitative analysis and problem-solving

Nice-to-have

  • High standards for quality and accuracy
  • Ability to work with virtual teams
  • Fast-paced, high energy environment
  • Attention to details

Key Requirements

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

Work Rights

Not specified

Tailored Resume

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