Executive Director, Risk/ Policy Management

Morgan Stanley; New York (NY); Hybrid; USD 221,000 - 275,000; Full time

Job summary

Morgan Stanley is seeking an Executive Director to advance counterparty credit risk methodologies, exposure modelling, and regulatory deliverables in New York. You will coordinate validation processes, liaise with regulators, and collaborate with risk managers and Front Office to ensure accurate risk representation across systems.

The role requires a Master’s in CS/CE or related field and at least three years in risk management, quantitative analysis, or related positions.

Qualifications

• Master's degree in CS/CE or related field.
• At least three years of relevant experience in risk management or related roles.
• Experience with counterparty credit risk methodologies and exposure modeling.

Responsibilities

• Develop and enhance counterparty credit risk methodologies.
• Support internal model approval processes with regulators.
• Develop exposure methodologies and models in the CVAT system.
• Coordinate regulatory disclosures related to Internal Model Method (IMM).
• Collaborate with risk managers and Front Office to ensure risk is captured in systems.

Skills

Stochastic calculus

Derivative pricing

Risk modeling

Backtesting

Monte Carlo simulation

Python

C++

Exposure modelling

Regulatory disclosures

Analytical reasoning

Education

Master's in Computer Science / Computer Engineering / related field

Tools

Python

C++

Job description

Company Profile:

Morgan Stanley is a leading global financial services firm providing a wide range of investment banking, securities, investment, and wealth management services. The Firm's employees serve clients worldwide, including corporations, governments, and individuals from more than 1,200 offices in 43 countries.

In the Firm Risk Management division, we advise businesses across the Firm on risk mitigation strategies, develop tools to analyze and monitor risks and lead key regulatory initiatives.

What you’ll do in the role:

Morgan Stanley Services Group Inc. is seeking an Executive Director, Risk/ Policy Management in New York, New York to 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). Coordinate 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. Telecommuting permitted up to 2 days per week.

What you’ll bring to the role:

• Requires a Master's in Computer Science, Computer Engineering, or a related field of study.
• Requires 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.
• Requires 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; and
  • Utilizing securities financing transactions product knowledge.

WHAT YOU CAN EXPECT FROM MORGAN STANLEY:

At Morgan Stanley, we raise, manage and allocate capital for our clients - helping them reach their goals. We do it in a way that's differentiated - and we've done that for 90 years. Our values - putting clients first, doing the right thing, leading with exceptional ideas, committing to diversity and inclusion, and giving back - aren't just beliefs, they guide the decisions we make every day to do what's best for our clients, communities and more than 80,000 employees in 1,200 offices across 42 countries. At Morgan Stanley, you'll find an opportunity to work alongside the best and the brightest, in an environment where you are supported and empowered. Our teams are relentless collaborators and creative thinkers, fueled by their diverse backgrounds and experiences. We are proud to support our employees and their families at every point along their work-life journey, offering some of the most attractive and comprehensive employee benefits and perks in the industry. There's also ample opportunity to move about the business for those who show passion and grit in their work.

To learn more about our offices across the globe, please copy and paste https://www.morganstanley.com/about-us/global-offices into your browser.

Expected base pay rates for the role will be between $221,000 and $275,000 per year at the commencement of employment. However, base pay if hired will be determined on an individualized basis and is only part of the total compensation package, which, depending on the position, may also include commission earnings, incentive compensation, discretionary bonuses, other short and long-term incentive packages, and other Morgan Stanley sponsored benefit programs.

Morgan Stanley is an equal opportunity employer committed to building and maintaining a workforce that is diverse in experience and background. Our recruiting efforts reflect our strong commitment to a culture of inclusion, where individuals are hired, developed, and advanced based on their skills and talents.

Our workforce reflects a broad cross-section of the global communities in which we operate, bringing a variety of backgrounds, talents, perspectives, and experiences.

For more information, please visit: https://www.morganstanley.com/people-opportunities/eeo.