Associate, Credit Risk Methodology, Risk Management Division recruitment

Position Category: Risk Management

Position Title: Associate, Credit Risk Methodology, Risk Management Division

Job Level: Associate

Location: USA - NY - New York

Education Required: Refer to Position Description

Position Description:
Morgan Stanley Co. LLC seeks Associate, Credit Risk Methodology, Risk Management Division in New York, NY to provide live trade exposure simulation and pricing for OTC derivatives contracts over a broad range of asset classes including fixed income, inflation-linked securities, credit derivatives and equities as part of a quantitative research group to support credit risk management. Develop and implement credit exposure backtesting framework for counterparty risk models under Basel II IMM framework using Matlab, VBA and Excel tools. Recommend model enhancements based on in-depth analysis of results. Work with model developers to test and validate the appropriateness and accuracy of advanced stochastic models and methodologies. Maintain prototype risk calculation models. Work with credit professionals on limit excess, stress testing and sensitivity analysis. Test and validate stochastic models and perform risk analysis utilizing scenario analysis, Monte-Carlo simulations, stochastic calculus modeling, probability theory, and time series analysis using Matlab, SAS, R, or C++.

REQUIREMENTS

Master's degree in Statistics, Financial Engineering, Mathematics, or related quantitative field or equivalent, and one (1) year of experience providing live trade exposure simulation and pricing for OTC derivatives contracts as part of a quantitative research group to support credit risk management on behalf of a global financial services firm. Prior experience must include testing and validating stochastic models and performing risk analysis utilizing scenario analysis, Monte-Carlo simulations, stochastic calculus modeling, probability theory, and time series analysis using Matlab, SAS, R or C++.

QUALIFIED APPLICANTS: Please apply through this website or e-mail your resume to efc110294@msresumes.com. NO CALLS. EOE

Skills Required:
Refer to job description

Skills Desired:
Refer to job description