The cornerstone of Morgan Stanley’s risk management philosophy is the execution of risk-adjusted returns through prudent risk-taking that protects Morgan Stanley’s capital base and franchise. Risk Management protects the firm from exposure to losses resulting from defaults by our lending and trading counterparties.
Background on the Group
Morgan Stanley's Risk Analytics department that resides within Firm Risk Management (FRM) performs quantitative analysis on the Firm's Credit, Market, Operational, and Liquidity risk exposures. The department’s primary objective is to measure and project risks across the Firm to support executive decisions and protect the Firm. Risk Analytics has main presence in New York and London, also attracts talent in Budapest and Mumbai.
The Scenario Analytics team is responsible for stress testing models as well as scenario generation for stress testing and macroeconomic forecasting.
Position Background and Responsibilities
Scenario Analytics is seeking a strong VP candidate to develop stress scenarios across a range of internal and regulatory stress test regimes. The candidate will collaborate with business stakeholders and research economists to develop assessments of emerging risks, translating these assessments into scenarios that impact key portfolio risk drivers and that test the vulnerabilities of the firm.
· Provide regular assessments of emerging macroeconomic and market risks and their scope, working with firm macroeconomic research and country risk teams
· Assesses materiality of risks in the context of firm exposures, and internal risks and risk drivers including market risk factors as well as economic variables
· Develop macroeconomic scenarios including narratives that describe how stress scenarios evolve over time and spread across markets. Provide assessments of scenario severity levels and global impacts
· Develop forecast guidelines that may be leveraged to support development of broader macroeconomic forecasts used in stress testing
· Work with firm research economists to ensure comprehensiveness and reasonableness of scenarios
· Provide supporting documentation and rationale for stress scenario assumptions in regulatory as well as internal stress scenario submissions
· PhD. or Masters in Economics with concentration in Macroeconomics, Applied Econometrics
· Strong quantitative skills with experience developing and applying macroeconomic forecast models
· Strong technical skills with proficiency in R, Matlab or related software
· 5-10 years of experience in the field of macroeconomic forecasting or stress testing
· Strong communication skills; ability to present complex issues clearly, both verbally and in writing
· Familiarity with stress test regimes under Federal Reserve, CECL, EBA and other guidance