Risk Analytics Stress RWA / Stress Testing - Vice President

Vice President, Market Risk Analytics

Morgan Stanley's Firm Risk Management (FRM) Division is an exciting and rapidly growing space. We support 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 and scenario analytics models providing quantitative analysis on the Firm's risk exposures. By developing mathematical and statistical models, Risk Analytics calculates the risks associated with specified sets of financial positions and day-to-day operations. Morgan Stanley is seeking a Vice President in its Market Risk Analytics department with a focus on market risk RWA stress testing models. The Market Risk Analytics group develops, maintains, and monitors the performance of market risk (VaR, Stressed VaR, and IRC) and stress testing models for Morgan Stanley's portfolio of assets, as required by the regulatory framework and the Firm's risk management needs. The new hire will join the Market Risk Analytics team to undertake research, modelling, development, and analysis of various market risk models to ensure appropriate modelling and capture of risk, regulatory capital calculation, and ongoing compliance with regulatory requirements, including for the upcoming Fundamental Review of Trading Book (FRTB).

Primary Responsibilities

• Develop and enhance market risk VaR, RNIV, IRC RWA stress testing models.
• Undertake research, modeling, development and analysis of these models to ensure appropriate modeling and capture of risk, regulatory capital calculation, and ongoing compliance with regulatory requirements including FRTB.
• Analyze and understand changes in risk metrics due to model and position changes to ensure the changes are as expected.
• Respond to model validation, audit, regulatory requests.
• Interact with various Risk departments within the Firm including Market Risk Capital, Market Risk, Model Risk Management and Risk IT.

Experience

Prefer a Master's degree in Quantitative Finance, Economics, Math / Physics / Engineering or a related field of study and five (5) years of relevant experience in a closely related occupation. Requires experience working with : VaR; Risks Not in VaR, IRC, VaR Stress Testing; IRC Stress Testing; Python / R; Regression techniques; SQL; Basel framework and upcoming FRTB rules. Strong skills in Communication, Critical Thinking, and Problem Solving and Collaboration. Curious about risk management, financial products, markets, and regulation. Strong attention to detail and ability to provide information in usable formats.

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.