Executive Director, Risk/ Policy Management

About the role

Morgan Stanley Services Group Inc. is seeking an Executive Director, Risk/Policy Management in New York, New York.

Responsibilities

• Develop and enhance the counterparty credit risk methodologies by developing models for portfolio analytics purposes.
• Support the internal model approval processes with the regulators.
• Develop exposure methodologies and implement exposure models in CVAT system.
• Liaise with model developers on the enhancement of exposure methodologies in CVAT system.
• Develop, benchmark, backtest, and test the Dynamic Initial Margin model in CVAT system.
• Monitor and enhance various Risk frameworks.
• Develop Backtest Risk Not in Internal Model Method (RNIMM) in CVAT system.
• Perform self-assessment for counterparty credit risk models.
• Support regulatory disclosures related to Internal Model Method (IMM).
• Coincide regulatory responses with respect to the IMM methodology.
• Work in advisory capacity to local and global risk managers and Front Office to ensure risk is appropriately captured in our systems.
• Support annual model validation of the exposure models.

Requirements

• Master’s in Computer Science, Computer Engineering, or a related field of study.
• Three (3) years of experience in the position offered or three (3) years as a Vice President, Risk Management, Equity Pricing Senior Quantitative Analyst, Manager, Quantitative Analyst, Software Developer, or a related role.
• Three (3) years of experience with the following skills:
• Applying stochastic calculus for derivative pricing and risk factor simulation model for potential future exposure modelling;
• Evaluating derivative products and pricing for counterparty credit risk exposure modelling;
• Analyzing statistical null hypothesis testing for counterparty credit risk backtesting modelling;
• Analyzing statistical linear and non-linear regression for the purpose of potential future exposure modelling;
• Leveraging potential future exposure modeling for counterparty credit risk;
• Applying internal modeling methods expertise;
• Monte Carlo simulation for the purpose of exotic derivative pricing and potential future exposure modeling for counterparty credit risk;
• Python;
• C++;
• Dynamic initial margin modeling;
• Potential future exposure backtesting method;
• Utilizing securities financing transactions product knowledge.

Qualifications

Telecommuting permitted up to 2 days per week.