Market Risk Quant – CVA Modelling recruitment
Position Category: Risk Management
Position Title: Market Risk Quant - CVA Modelling
Job Level: Executive Director
Location: USA - NY - New York
Education Required: Bachelors Degree
Position Description:
The Model Re¬view Group has global responsibilities for the independent review of all valuation models used by the business divi¬sions of Morgan Stanley. Model review professionals are located in New York, London and Budapest, and work closely with desk strat¬egists (Quant Research) and risk managers in the Market Risk Department.
The group is currently looking for a (senior) VP or ED level person to be located in New York, mainly covering BASEL II III Counterparty Credit Risk and CVA related areas.
Skills Required:
Required skills include the following:
(1). In-depth knowledge of mathematical finance, statistics and probability, and numerical/quantitative techniques for complex derivatives products.
(2). At least 6-year hands-on experience with Counterparty Credit Risk/IMM and/or CVA modeling and pricing (either model development or model review/validation with a financial institution), and good understanding of model risk control and measurement.
(3). Ability to program and test valuation/pricing models for complex derivatives independently.
(4). Good coordination and large-scale project management and people/leadership skills, good multi-tasking skills, excellent writing and communication skills, and good business sense and judgment.
Educational requirements include a Master or Ph.D. degree in Finance, Economics, Statistics, Mathematics, Mathematical Finance, Physics, Engineering, or a related quantitative field.