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Division: Firm Risk Management
Role: Risk Analytics
Level: Associate
Location: London

Firm Risk Management
Firm Risk Management (FRM) supports Morgan Stanley to achieve its business goals by partnering with business units across the Firm to realize efficient risk-adjusted returns, acting as a strategic advisor to the Board and protecting the Firm from exposure to losses as a result of credit, market, liquidity, operational, model and other risks.

Background on the Position
The role will reside within Firm Risk Management's Risk Analytics Department, specifically the Counterparty Exposure Methodology Group (CEMG). The CEMG is responsible for the development of the Internal Model Method (IMM) credit risk models used for counterparty exposure and credit capital calculations. This role will be within the EMEA CEMG team, reporting to the EMEA Head of CEMG based in London, focused on IMM credit risk models and working closely with the Global CEMG function in the US, Budapest and Mumbai. The EMEA CEMG focuses on ensuring that regional / legal entity requirements, standards and practices are met across all Counterparty Credit risk activities for which CEMG is responsible.

Primary Responsibilities

• Developing, testing and maintaining IMM counterparty exposure model and methodologies across asset classes (e.g. market factor simulation models, derivative pricing models, margining models etc.)
• Performing self-assessments for counterparty credit risk models to ensure that Morgan Stanley remains compliant with regulatory requirements from both PRA and ECB perspectives for the Internal Model Method (IMM)
• Supporting the IMM model monitoring processes, regulatory disclosures related to IMM and the model validation of the IMM models
• Co-ordinating regulatory responses with respect to the IMM methodology (PRA and ECB)
• Working in an advisory capacity with local/global risk managers and Front Office stakeholders to ensure risk is appropriately captured in the Firm's systems

FRM is committed to creating and providing opportunities that enable our workforce to reflect diverse backgrounds and views.

Experience

• PHD, MSc or equivalent in a quantitative subject such as mathematics, physics, engineering, statistics or computing science
• Good understanding of derivative pricing models
• Good analytical ability and programming skills (e.g. Python, C++)
• An interest in working in a fast-paced environment, often balancing multiple high priority deliverables
• Ability to work in a self-motivated way in a collaborative, team-oriented environment
• The ability to effectively communicate with a wide range of stakeholders, both written and verbally
• Relevant experience in a quantitative role at an investment bank or trading firm (preferred)