VP- Credit Risk Quantitative Analyst recruitment

Position Category: Risk Management

Position Title: VP- Credit Risk Quantitative Analyst

Job Level: Vice President

Location: USA - NY - New York

Education Required: Masters Degree

Position Description:
Morgan Stanley is seeking a strong Vice President to join its Credit Risk Methodology team
Responsibilities Include:
• Provide analytic support for the Basel II implementation of the Internal Models Method (IMM)
• Development and implementation of analytical models and regulatory disclosures related to Basel 2 Internal Model Method and Basel III
• Implement credit exposure stress testing methodologies and provide in-depth analyses of stress test results.
• Develop new approaches for back testing exposure models and provide detailed analysis of the back-test results.
• Work directly with credit officers to evaluate proposed trades and reach agreement on their credit risk intensity.
• Evaluate counterparty exposure of proposed derivative trades that are too complex to be covered by the firm's existing exposure models. In this capacity, analyst will work closely with credit officers and with traders as the deal is structured.
• Develop prototype models to calculate exposure of new or exotic products.
• Perform analysis of counterparty exposures to ascertain the accuracy of the exposures for limit monitoring purposes.

Skills Required:
• Advanced degree (M.S. or PhD) in a quantitative discipline, e.g., economic, mathematics, or finance with a quantitative undergraduate background.
• 4 to 6 years work experience in a quantitative research group at a commercial bank, investment bank, or consulting firm.
• Direct experience with Basel 2 IMM approach in calculating regulatory capital

Skills Desired:
• Experience with Monte Carlo simulation and numerical analysis (e.g., numerical integration, optimization techniques) would be desirable, but not required.
• Statistical skills (e.g., probability theory, time series analysis) and facility with statistical packages would be desirable but are not required.
• In-depth knowledge of option pricing and stochastic calculus.
• Facility with programming languages (preferably C).
• Facility with mathematical analysis packages (e.g., MATLAB) is desirable but is not required