CREDIT RISK METHODOLOGY QUANTITATIVE ASSOCIATE
Position Description
Morgan Stanley is seeking a strong Associate level candidate to join its Credit Risk Methodology Group. The CRMG team has an opening for a highly motivated individual to review and validate credit risk models such as probabilities of default (PD), loss given default (LGD), and exposure at default (EAD). This individual will work closely with the various groups within the Credit Risk Management Department in evaluating rating models that span across wholesale, retail and securitization work streams.
Responsibilities Include:
• Provide independent review and validation of internal rating scorecard methodologies for both PD and LGD ratings. This requires thorough statistical analysis of the underlying data, such as regression and discriminant analyses, and understanding of the various risk factors that impact the credit quality of an obligor and loss attributes of a facility.
• Provide independent review and validation sign off of the methodology and parameter estimation of EAD models.
• Closely work with other teams within Credit Department to provide regular ongoing model performance assessments, rating analysis and override monitoring. Review analysis results with senior management and provide recommendations.
• Write high-quality model review documentation that satisfies the firm's internal model approval functions, audit requirements, and the Firm's regulators (e.g., FRB, OCC, and PRA).
Skills Required
• Advanced degree (PhD or MS) in a quantitative discipline (e.g., statistics, economics, finance, physics, math)
• 2 to 6 years work experience in a quantitative research group at a commercial bank, investment bank, or consulting firm
• Statistical skills especially in the area of hypothesis testing, regression and discriminant analyses
• Familiarity with statistical packages (e.g., MATLAB, or R )
• Familiarity with SQL and VBA
• Team player with strong interpersonal and communication skills
Skills Desired
• PhD degree in a quantitative discipline
• Previous experience interacting with regulators
• Hands on experience with credit risk models, in particular, experience with A-IRB internal risk rating model development are highly desirable
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