What you'll do in the role:Morgan Stanley Services Group, Inc. is seeking a Vice Resident, Risk/ Policy Management in New York, New York to develop, implement, and maintain quantitative market risk models to measure and monitor the Firm's exposure to Equity and related asset classes. Apply mathematical and statistical techniques to support Value at Risk (VaR), Full Revaluation VaR, Expected Shortfall, stress testing, and Risk Not in VaR (RNIV) frameworks in line with regulatory and internal risk management requirements. Support development of new models under the Fundamental Review of the Trading Book (FRTB) framework. Perform quantitative analysis, backtesting, and sensitivity analysis to evaluate model performance and investigate changes in risk metrics driven by market movements, portfolio changes, or model enhancements. Design and execute model testing plans for large scale strategic model developments. Support model development and maintenance activities, including risk factor identification, calibration, and data validation. Develop and maintain analytical tools and automated workflows in a production environment and prepare technical documentation for model changes and ongoing governance. Collaborate with Front Office, Risk Management, Model Risk Management, and Technology teams to support model development, implementation, model validation, analysis, audit requests, and regulatory inquiries.
What you'll bring to the role:-Requires a Master's in Actuarial and Financial Mathematics, or a related field
-Requires three 3) years of experience in the position offered or three (3) years as an Associate, Analyst Market Risk Analytics, or a related role
-Requires Three (3) years of experience with the following skills:
- Utilizing quantitative finance knowledge of derivative pricing;
- Applying probability, statistics, and stochastic processes, to financial risk modeling;
- Equity markets and equity products;
- Applying knowledge of regulatory market risk frameworks, including Basel standards and the Fundamental Review of the Trading Book (FRTB);
- Conducting time series analysis;
- Programming skills in Python, including development of production quality analytical code;
- Market risk modeling expertise, including Value at Risk (VaR), Full Revaluation VaR, Expected Shortfall, and Risk-not-in-VaR framework;
- Analyzing changes in risk metrics driven by market movements, portfolio changes, or model updates;
- Relational databases and SQL for data extraction and analysis;
- Documentation of mathematical models; and
- Working with large financial datasets, including data validation.
Expected base pay rates for the role will be between $180,000 and $205,000 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.
