CREDIT RISK METHODOLOGY QUANTITATIVE ANALYST
Position Description
Morgan Stanley is a global financial services firm and a market leader in investment banking, securities, investment management and wealth management services. With more than 1,200 offices in 42 countries, the people of Morgan Stanley are dedicated to providing our clients the finest thinking, products and services to help them achieve even the most challenging goals.
Due to an expansion of our business, our Budapest office location is growing, creating exciting new opportunities within our Credit Risk Department.
The Credit Risk Department is an independent risk oversight function. It is charged with managing and overseeing the counterparty credit risk profile of the Institutional Securities Business. The Credit Risk Department's specific responsibilities include evaluating and rating the credit risk of counterparties, establishing and managing counterparty credit risk limits, evaluating credit risk transactions and approving, rejecting or modifying them as appropriate.
We are currently looking for a
CREDIT RISK METHODOLOGY QUANTITATIVE ANALYST
Responsibilities:
• Perform detailed analysis of counterparty exposures to ascertain the accuracy of the exposures for limit monitoring purposes.
• Provide detailed analysis of the back-test results and improve back-testing methodology.
• Implement credit exposure stress testing methodologies and provide in-depth analyses of stress test results.
• Provide analytic support for the Basel II implementation of the Internal Models Method (IMM)
• Work with other quantitative teams (such as strats and model review group) and IT to improve outputs, models and systems, based on findings of various analysis.
• Communicate key risks with credit officers.
• Develop prototype models to calculate exposure of new or exotic products.
Skills Required
The ideal candidate would have:
• Advanced degree (M.S.) in a quantitative discipline, e.g., economic, mathematics, or finance with a quantitative undergraduate background.
• Proficiency in SQL
Skills Desired
• 2 to 4 years work experience in a quantitative research group at a commercial bank, investment bank, or consulting firm.
• Hands on experience with counterparty exposure modeling and experience with Monte Carlo simulation and numerical analysis (e.g., numerical integration, optimization techniques)
• Statistical skills (e.g., probability theory, time series analysis) and facility with statistical packages would be desirable but are not required.
• Facility with mathematical analysis packages (e.g., MATLAB) or VBA/C++ coding
• Familiarity with Basel 2 IMM approach in calculating regulatory capital
Leave a Reply
You must be logged in to post a comment.