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 Position
Morgan Stanley is seeking a strong VP level candidate to join its Credit Risk Methodology Group. The CRMG team has an opening for a highly motivated individual to develop credit risk models related to stress testing, Allowance for Credit Loss (ACL), portfolio analytics and credit limit setting. This individual will work closely with the various groups within the Credit Risk Management Department in developing these credit risk models related to both wholesale and retail portfolios.
· Develop and enhance stress testing methodology to satisfy various regulatory requirements (CCAR/DFAST/ICAAP). This requires thorough statistical analysis of the underlying data, such as regression and time series analyses, and understanding of the various macroeconomic factors and risk factors that impact the credit quality of portfolios.
· Develop and enhance credit risk models for Allowance for Credit Loss (ACL) to satisfy both accounting standards and regulatory requirements.
· Develop models for portfolio analytics purpose, such as credit limit setting and loss reserve.
· Write high-quality model documentation that satisfies the firm’s internal model approval functions, audit requirements, and the Firm’s regulators (e.g., FRB, OCC, and PRA).
· Closely work with other teams within Credit Department to provide regular ongoing model performance assessments, rating analysis and override monitoring. Review analysis results with senior management and provide recommendations.
· Develop analytical tools to support to other teams within Credit Department
Skills required (essential)
· Advanced degree (PhD or MS) in a quantitative discipline (e.g., statistics, economics, finance, physics, math)
· 5 to 10 years work experience in a quantitative research group at a commercial bank, investment bank, or consulting firm
· Statistical skills especially in the area of hypothesis testing, regression and discriminant analyses
· Familiarity with statistical packages (e.g., MATLAB, or R )
· Familiarity with SQL and VBA
· Team player with strong interpersonal and communication skills
· PhD degree in a quantitative discipline
· Previous experience interacting with regulators
· Hands on experience with credit risk models, in particular, experience with stress testing models and A-IRB internal risk rating model development are highly desirable
· Experience with Monte Carlo simulation and numerical analysis would be desirable, but not required