Associate, Counterparty Risk Manager- Risk Management, IED recruitment

Position Category: Risk Management

Position Title: Associate, Counterparty Risk Manager- Risk Management, IED

Job Level: Associate

Location: USA - NY - New York

Education Required: Refer to Position Description

Position Description:
Morgan Stanley Co. LLC seeks Associate, Counterparty Risk Manager, Risk Management, IED in New York, NY to develop computational tools and perform quantitative analysis in connection with collateral calculations, credit risk exposure monitoring and Credit Valuation Adjustment (CVA) using programming languages such as VBA, Perl, Oracle and C++. Evaluate risk of Equity Derivatives. Prepare and analyze the daily Equity CVA PL based on market fluctuations for the CVA Desk, working with Valuation Review Group and Controllers on a global basis. Coordinate CVA PL impact with FID and Commodity desks for cross-domain counterparties. Apply Longstaff-Schwartz regression technique to proxy CVA estimation. Perform CVA pricing under various scenarios for complex Equity derivative portfolios traded globally. Work with internal stakeholders on Basel capital calculation for Equity Derivatives. Use Monte-Carlo Simulation and Black-Scholes and other closed form models for Equity Derivatives Pricing. Build models to calculate Bid-Offer spread risk involved in derivatives termination events for Rating Trigger Management. Work with the technology team on the development of the risk infrastructure and the management of technology products; coordinating technical functions in order to execute the counterparty risk management agenda. Work with various IT and Strategy teams to solve model and data issues and to set controls for CVA and capital pricing using Excel, Access and other programming languages Create and manage bespoke client risk management policies and limit monitoring in internal risk and IT systems, using Oracle and Unix. Introduce best practices and tools to various areas of risk management to achieve more industrialized, robust and SOX complaint state. Capture KYC and OTC Derivative documentation data in IT systems. Set New Client On-boarding and Account Opening Controls for OTC Derivatives and PB business using web tools. Review and utilize documentation contractual terms used for trading OTC products including ISDA, CSA, ATS and Trade Confirmations in credit pricing of OTC Derivatives.

Skills Required:
Master's degree in Business Administration, Finance, Financial Engineering or related quantitative field or equivalent and four (4) years of experience developing applications and computational tools to monitor financial risk on behalf of a global financial services institution. Prior experience must include defining data requirements; gathering and validating information; performing quantitative analysis of capital markets; writing technical specifications of financial applications to support risk management functions, and; developing and maintaining trade reporting and risk management tools on Unix platform using object oriented and database languages such as Perl, Oracle, VBA, and C++.

QUALIFIED APPLICANTS

Please apply directly through this website or e-mail your resume to: efc108118@msresumes.com. NO CALLS. EOE