VP, Market Risk Analytics, Quantitative Development

Morgan Stanley; New York (NY); Hybrid; USD 120,000 - 200,000; Full time

Job summary

Morgan Stanley is seeking a Vice President for Market Risk Analytics, focusing on developing Python libraries for risk models. This role involves collaboration across various teams and requires a strong background in quantitative fields and Python programming. The position offers a competitive salary and is part of a diverse and inclusive workplace.

Qualifications

• Requires a Master's degree and 5 years of relevant experience.
• Strong Python skills and knowledge of machine learning algorithms required.
• Knowledge of market risk modeling methodologies preferred.

Responsibilities

• Design and develop Python analytical libraries for market risk models.
• Collaborate with other teams to deliver project requirements.
• Maintain and govern code libraries.

Skills

Python programming

Data manipulation

Time series analysis

Machine learning algorithms

Market risk modeling

Education

Master's degree in Quantitative Finance, Physics, Mathematics, Engineering, or Computer Science

Job description

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Firm Risk Management

Morgan Stanley's Firm Risk Management (FRM) Division is an exciting and rapidly growing space. We support 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, model and other risks.

Background on the Position

The role will reside within the Firm Risk Management's Risk Analytics area. Risk Analytics develops market risk, credit risk and scenario analytics models. These mathematical and statistical models provide an overall calculation of market risk across asset classes (e.g. equities, interest rate instruments), the credit risk of borrowers and their expected losses, the calculation of risk in a time of increased economic stress (i.e. stress testing), and the generation of scenarios associated with increased economic stress.

Morgan Stanley is seeking a Vice President to join the Market Risk Analytics (MRA) Engineering Team as a technical lead for strategic coding projects. The new hire will act as a technical lead responsible for the development of Python libraries used to support the analytical needs of various models owned by the MRA team. Models in scope for this development role include VaR, IRC, CRM, time series models (anomaly detection, statistical gap-filling), stress testing models, and the suite of models associated with new FRTB regulation. The new hire will be responsible for technical documentation and ongoing governance of library code.

Primary Responsibilities

• Design and develop Python analytical libraries supporting needs of the full suite of market risk models
• Be a thought-leader on the design and implementation of analytical frameworks
• Technically own the code library including development, maintenance, testing, and governance
• Effectively collaborate with other MRA teams and partnering areas - Market Risk Management, Model Risk Management, Strats and IT - to deliver on project requirements
• Effectively represent/communicate MRA Engineering Team objectives to a wider audience of project stakeholders and senior managers
  
  

Required Experience/Skills

• Requires a Master's degree in a quantitative field such as Quantitative Finance, Physics, Mathematics, Engineering, Computer Science; and five (5) years of relevant work experience involving a significant quantitative development component;
• Strong Python programming skills and packages used for data manipulation, time series and data analysis required
• Knowledge of machine learning algorithms and techniques particularly in the area of time series anomaly detection, required
• Knowledge of market risk modelling methodologies (value-at-risk, expected shortfall, Greek-based VaR) strongly preferred
• Trading markets knowledge within the FX, rates, credit, equity, commodity space strongly preferred
• Strong written and verbal communication skills essential
• Project organizational competency and team leadership skills essential
  
  

Morgan Stanley's goal is to build and maintain a workforce that is diverse in experience and background but uniform in reflecting our standards of integrity and excellence. Consequently, our recruiting efforts reflect our desire to attract and retain the best and brightest from all talent pools. We want to be the first choice for prospective employees.

It is the policy of the Firm to ensure equal employment opportunity without discrimination or harassment on the basis of race, color, religion, creed, age, sex, sex stereotype, gender, gender identity or expression, transgender, sexual orientation, national origin, citizenship, disability, marital and civil partnership/union status, pregnancy, veteran or military service status, genetic information, or any other characteristic protected by law.

Morgan Stanley is an equal opportunity employer committed to diversifying its workforce (M/F/Disability/Vet).

Firm Risk Management values diversity and is committed to providing a supportive and inclusive workplace for all employees.

This role is hybrid and currently requires in office attendance 3 days/week. The in office requirement is subject to change at any time.

What You Can Expect From Morgan Stanley

We are committed to maintaining the first-class service and high standard of excellence that have defined Morgan Stanley for over 89 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.

Expected base pay rates for the role will be between $120,000 and $200,000 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's goal is to build and maintain a workforce that is diverse in experience and background but uniform in reflecting our standards of integrity and excellence. Consequently, our recruiting efforts reflect our desire to attract and retain the best and brightest from all talent pools. We want to be the first choice for prospective employees.

It is the policy of the Firm to ensure equal employment opportunity without discrimination or harassment on the basis of race, color, religion, creed, age, sex, sex stereotype, gender, gender identity or expression, transgender, sexual orientation, national origin, citizenship, disability, marital and civil partnership/union status, pregnancy, veteran or military service status, genetic information, or any other characteristic protected by law.

Morgan Stanley is an equal opportunity employer committed to diversifying its workforce (M/F/Disability/Vet).

Seniority level

• Seniority level

  Executive

Employment type

• Employment type

  Full-time

Job function

• Job function

  Business Development and Sales

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