What you'll do in the role: Morgan Stanley Services Group Inc. is seeking an Executive Director, Risk/ Policy Management in New York, New York to develop and enhance the counterparty credit risk methodologies by developing models for portfolio analytics purposes. Support the internal model approval processes with the regulators. Develop exposure methodologies and implement exposure models in CVAT system. Liaise with model developers on the enhancement of exposure methodologies in CVAT system. Develop, benchmark, backtest, and test the Dynamic Initial Margin model in CVAT system. Monitor and enhance various Risk frameworks. Develop Backtest Risk Not in Internal Model Method (RNIMM) in CVAT system. Perform self-assessment for counterparty credit risk models. Support regulatory disclosures related to Internal Model Method (IMM). Coordinate regulatory responses with respect to the IMM methodology. Work in advisory capacity to local and global risk managers and Front Office to ensure risk is appropriately captured in our systems. Support annual model validation of the exposure models. Telecommuting permitted up to 2 days per week.
What you'll bring to the role:-Requires a Master's in Computer Science, Computer Engineering, or a related field of study.
-Requires three (3) years of experience in the position offered or three (3) years as a Vice President, Risk Management, Equity Pricing Senior Quantitative Analyst Manager, Quantitative Analyst, Software Developer, or a related role.
-Requires three (3) years of experience with the following skills:
- Applying stochastic calculus for derivative pricing and risk factor simulation model for potential future exposure modelling;
- Evaluating derivative products and pricing for counterparty credit risk exposure modelling;
- Analyzing statistical null hypothesis testing for counterparty credit risk backtesting modelling;
- Analyzing statistical linear and non-linear regression for the purpose of potential future exposure modelling;
- Leveraging potential future exposure modeling for counterparty credit risk;
- Applying internal modeling methods expertise;
- Monte Carlo simulation for the purpose of exotic derivative pricing and potential future exposure modeling for counterparty credit risk;
- Python;
- C++;
- Dynamic initial margin modeling;
- Potential future exposure backtesting method; and
- Utilizing securities financing transactions product knowledge.
Expected base pay rates for the role will be between $221,000 and $275,000 per 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.
Telecommuting permitted up to 2 days per week.
