Associate, Credit Risk Analysis & Reporting recruitment

Position Category: Risk Management

Position Title: Associate, Credit Risk Analysis Reporting

Job Level: Associate

Location: USA - NY - New York

Education Required: Refer to Position Description

Position Description:
JOB

Morgan Stanley Co. LLC seeks Associate, Credit Risk Analysis Reporting in New York, NY to analyze portfolio credit risk data and develop advanced mathematical models to price fixed income products including corporate loans, corporate bonds, and credit default swaps. Calculate and monitor the gross and net exposure of the global corporate lending portfolio and warehouse loans. Assist in designing the limits framework and hedge strategy with senior risk management staff for fair value and the investment lending portfolio. Perform data mining and develop tools to calculate exposures, identify trends and variances, and automate the monitoring process to improve the efficiency and accuracy of portfolio analysis, including current and potential credit exposure, netting agreements, collateral and margins, VaR, stress testing, stressed VaR, greeks sensitivities including PV01 and PV10, distribution profiles, and Monte Carlo simulations. Evaluate and implement various fixed income pricing models in Matlab and Excel VBA to determine behaviors to help explain the risk metrics' change in the portfolio. Closely monitor and identify credit market movements. Execute automating processes for data mining and manipulation, complex mathematical and financial calculations, and report generation. Design complex queries using Excel VBA and SQL for institutional lending products including corporate lending, warehouse loans, muni loans, and community reinvestment act loans to mine and manipulate data and report risk exposures and metrics. Manage a project to design and build a consolidated corporate lending database in coordination with IT and business units. Identify the attributes that can help monitor credit risks and confirm exposure calculation logics. Liaise with IT units to implement the design and validate the results. Develop and implement robust and efficient data analysis tools for capturing, reporting, and manipulating corporate loan and hedge data. Leverage tools to produce timely, accurate, and value-added analysis, reports, and presentations for credit management and other constituencies. Develop data integration processes across different trading booking systems. Assist in developing risk management strategies when switching from fair value to held for investment accounting rules. Calculate impact to the portfolios and hedge strategy under new accounting rules. Participate in the development of risk management policies for the lending business. Implement the appropriate tools/procedures to monitor and report against new policies, limits, and guidelines. Integrate the credit conversion factor in calculating Financial Accounting Standard Rule No. 5 (FAS 5) reporting capabilities for the held for investment portfolio. Work with research and capital groups in analyzing historical loan data to determine proper credit conversion factors for different loan structures. Identify the company's ability to meet current and future debt obligations and the loss given default of various loan products (including revolver, term loan, and bridge) made to different companies. Work with the team calculating the capital reserved for loans made to adjust the hedges on loans based on the Basel II final rule. Further enhance the risk/return event score model to optimize the allocation of the portfolio. Utilize additional tools including pivot tables, Powerpoint, and Loan IQ. Develop applications with a graphical user interface to track credit data, feed the data into the database, and create data reports.

REQUIREMENTS

Master's degree in Economics, Statistics, Mathematics, or related quantitative field, and two (2) years of experience analyzing portfolio credit risk data for fixed income products including corporate loans, corporate bonds, and credit default swaps on behalf of global financial services firms. Prior experience must include performing data mining and developing tools to calculate exposures, identifying trends and variances, and automating the monitoring process to improve the efficiency and accuracy of portfolio analysis, including current and potential credit exposure, netting agreements, collateral and margins, stress testing, stressed VaR, distribution profiles, and Monte Carlo simulations; executing automating processes for data mining and manipulation, complex mathematical and financial calculations, and report generation; and designing complex queries using Excel VBA and SQL to mine and manipulate data and report risk exposures and metrics. Employer will also accept a Bachelor's degree and five (5) years of experience in the above-listed areas.

QUALIFIED APPLICANTS: Please apply through this website or e-mail your resume to efc110368@msresumes.com. NO CALLS. EOE

Skills Required:
Refer to position description

Skills Desired:
Refer to position description