Company Profile: Morgan Stanley is a leading global financial services firm providing a wide range of investment banking, securities, investment management and wealth management services. The Firms employees serve clients worldwide including corporations, governments and individuals from more than 1,200 offices in 43 countries. Firm Risk Management Firm Risk Management (FRM) supports Morgan Stanley to achieve its business goals by partnering with business units across the Firm to realize efficient risk-adjusted returns, acting as a strategic advisor to the Board and protecting the Firm from exposure to losses as a result of credit, market, liquidity, model and other risks. Position Background Risk Analytics is seeking an Associate/Director to support quantitative Counterparty Credit Risk Analytics IMM (Internal Models Method) projects and regulatory deliverables. The candidate needs to collaborate within the team and across a range of functional groups to fulfill the deliverables on a timely basis. This is a permanent role. Primary Responsibilities include, but are not limited to: Research, development, enhancement, and documentation of IMM Counterparty credit risk, methodologies, and tools for regulatory and risk management purposes Perform analysis including model recalibrations, back-tests, stress tests, scenario, and sensitivity analyses. Programming of prototypes/production code (within an established C++/R /Python libraries) which will be productionized. Program, test and implement quantitative financial methods using Python, C++, VBA, R, Matlab and SQL Utilize advanced statistics, econometrics and mathematical skills including probability theory, stochastic calculus, Monte Carlo simulation, numerical analysis, optimization techniques and time series analysis Work with Technology on model testing, implementation, and production Work with risk managers and other stakeholders to address their requests for additional analysis based on specific needs as they arise Participate in Regulatory and validation exams by providing documentation and responses to regulators and internal validators
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