Analyst – Market Risk Analytics

Company Name: Morgan Stanley

Job Contact: Apply on company website

Contact Email: N/A

Job Location: New York, NY

Date: 10/5/2017

Job Description

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 PositionThe role is as part of the global Market Risk Methodology Group of Morgan Stanley. The group is responsible for developing, maintaining and monitoring the Firm’s market risk models such as Value at Risk (VaR), Incremental Risk Charge (IRC) and Comprehensive Risk Measure (CRM). The group also develops stress tests and other methods required for market risk management or regulatory purposes. This role involves market risk modeling and statistical analysis of Morgan Stanley’s portfolios for the Market Risk Department. This includes development, implementation, and production of all regulatory and internal market risk models.

Primary Responsibilities

  • Research, development and enhancement of market risk models and methodologies.

  • Apply stochastic and econometric techniques to support methodology development and validation. Perform back-tests, stress tests, scenario analyses and sensitivity studies

  • Oversee implementation of model changes in IT production environment

  • Incorporate Front-Office changes in Interest Rates, Credit, Equity, Foreign exchange, Securitizations and Counterparty valuation pricing systems into market risk models. This involves liaising with Front-Office Desk Strategists, Risk managers and IT for integration of new products and risks into official and internal risk numbers.

  • Oversee daily production of all market risk models. This involves diagnosing and fixing production issues that are critical to producing Firm’s daily market risk numbers. Automation of production processes to reduce operational risk.

  • Ongoing updates and calibrations of market risk models and methodologies to reflect the current market conditions including overseeing the weekly benchmarks update process to reflect the latest market data.

  • Participate in Regulatory and validation exams by providing documentation and responses to regulators and internal validators on market risk models related issues.

  • Assisting risk managers on model based questions and analysis. Conduct on-demand analyses of model changes and impact of new positions

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