VP/Director(AVP)Market Risk Analytics (Risk Management)

Job Description

Morgan Stanley is seeking Vice President/ Director (AVP) in its Market Risk Analytics department. The Market Risk Analytics group develops, maintains and monitors the performance of market risk (VaR, Stressed VaR, IRC and CRM) and stress testing models for Morgan Stanley's portfolio of assets, as required by the regulatory framework and the Firm's risk management needs.

- Participate in modeling, development and implementation of market risk models
- Perform quantitative/econometric Analysis to ensure appropriate modeling and capture of risk, regulatory capital calculation and ongoing compliance with regulatory requirements.
- Work closely with global Market Risk Analytics team members, Risk Managers and Business in defining the requirements and executing them.
- Represent market risk analytics in governance forums, risk committees, MRM discussions and audit discussions.
- Lead a team of exceptional quants and provide technical and domain specific guidance to team members. Note - This is not a pure people management role, you will be responsible for deliverables and candidates looking for a pure people management role should not apply.
- Perform backtests, stress tests, scenario analyses and sensitivity studies, and conduct on-demand analyses of model changes.
- Collaborate with various Risk departments within the Firm including Market Risk, Credit Risk and Risk IT.

Skills Required
> 7-10+ years of work experience in quantitative modeling, Risk Management, algorithmic trading, global markets or any other quantitative/Data Science field.
> Strong quantitative and analytical skills and ability to work with diverse cultures in a global team.
> Understanding of risk management concepts such as VaR (value-at-risk), Stress tests, market risk modelling, Incremental Risk Charge for credit products, back-testing and the risk representation of various portfolios.
> The candidate needs to be familiar with statistical techniques viz. Regressions Analysis, Hypothesis testing, Time-series modeling, Volatility modeling et al.
> Proven track record of leading quantitative/analytical teams.
> Be self-motivated, adaptable, have good attention to detail and willing to assume extended responsibility
> Have excellent interpersonal skills and a high level of professionalism as this position requires interaction with Business Units, external counterparts and senior management
> Strong knowledge of financial traded products e.g. derivatives and their pricing.
> Knowledge and hands-on experience in one of the programming languages Python, MATLAB, C# or C++ is strongly preferred.
> Excellent communication skills (Oral and written). Ability to communicate and present logically, precisely and in simple manner, complex and technical issues.
> Ability to work under pressure and cope with a fast moving environment.
Required Qualifications
> Graduate/Under-graduate/Advance degrees in finance, mathematics, physics econometrics, engineering or other quantitative subjects.
> Candidates should have a strong theoretical foundation in mathematics, quantitative finance and derivatives.
> Provide technical and domain specific guidance to team members.
> Candidates will have to deal in VBA, SQL queries, and MS-Office on daily basis.

Desirable Skillsets

> PRM/FRM, CFA, CQF certification is an advantage.
> Quantitative modeling experience in Finance/ Data Science
> Knowledge of risk mitigation practices and experience with Basel II/III/IV rules will be considered advantageous.
> Experience in AI, ML, NLP, Big Data Analytics, Tableau is an advantage.

Morgan Stanley is an equal opportunities employer. We work to provide a supportive and inclusive environment where all individuals can maximise their full potential. Our skilled and creative workforce is comprised of individuals drawn from a broad cross section of the global communities in which we operate and who reflect a variety of backgrounds, talents, perspectives and experiences. Our strong commitment to a culture of inclusion is evident through our constant focus on recruiting, developing and advancing individuals based on their skills and talents.