Quantitative Analyst-Counterparty Credit Risk Exposure

Morgan Stanley • Full-time • New York, NY,US, US • 21h ago

Develop, enhance and maintain Counterparty Credit Risk (CCR) methodology. - Develop models for portfolio analytics purpose, such as credit limit setting and stress limit setting. - 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, SEC, etc.). - Closely work with other teams within FRM to provide regular ongoing model performance assessments, hypothetical risking analysis and override monitoring. Review analysis results with senior management and provide recommendations. - Working in an advisory capacity with local/global risk managers and Front Office stakeholders to ensure risk is appropriately captured. - Develop analytical tools to support to other teams within Firm Risk Management. Applicants must have either graduated from a four-year accredited university with a quantitative major such as Math / Physics / Statistics / Econometrics /Engineering / Computer Science. - 5 to 10 years work experience in a quantitative research group at a commercial bank, investment bank, or consulting firm - Quantitative skills especially in the area of Monte Carlo simulation, derivatives pricing, hypothesis testing and regression - Strong skills in communication, critical thinking, and problem solving and collaboration - Curious about risk management, financial products, markets, and regulation - An interest in a fast-paced environment, often balancing multiple high priority deliverables - Strong attention to detail and ability to provide information in usable formats - Familiarity with coding languages Firm Risk Management values diversity and is committed to providing a supportive and inclusive workplace for all employees. This role is hybrid and currently requires in office attendance 3 days/week. The in office requirement is subject to change at any time. We do it in a way that's differentiated - and we've done that for 90 years. Our values - putting clients first, doing the right thing, leading with exceptional ideas, committing to diversity and inclusion, and giving back - aren't just beliefs, they guide the decisions we make every day to do what's best for our clients, communities and more than 80,000 employees in 1,200 offices across 42 countries. Our teams are relentless collaborators and creative thinkers, fueled by their diverse backgrounds and experiences. We are proud to support our employees and their families at every point along their work-life journey, offering some of the most attractive and comprehensive employee benefits and perks in the industry. There's also ample opportunity to move about the business for those who show passion and grit in their work. To learn more about our offices across the globe, please copy and paste https://www.morganstanley.com/about-us/global-offices into your browser. Expected base pay rates for the role will be between $120,000 and $200,000 year at the commencement of employment. Consequently, our recruiting efforts reflect our desire to attract and retain the best and brightest from all talent pools. We want to be the first choice for prospective employees. It is the policy of the Firm to ensure equal employment opportunity without discrimination or harassment on the basis of race, color, religion, creed, age, sex, sex stereotype, gender, gender identity or expression, transgender, sexual orientation, national origin, citizenship, disability, marital and civil partnership/union status, pregnancy, veteran or military service status, genetic information, or any other characteristic protected by law.

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