Market Risk Analyst to the Capital team
- Budapest, Budapest fovaros, Hungary Budapest Budapest fovaros HU
- Permanent, Full time
- Morgan Stanley
- 19 Mar 18 2018-03-19
See job description for details
The cornerstone of Morgan Stanley’s risk management philosophy is the execution of risk-adjusted returns through prudent risk-taking that protects Morgan Stanley’s capital base and franchise. Risk Management protects the firm from exposure to losses resulting from defaults by our lending and trading counterparties.
Market Risk department is responsible for managing all market risk exposures arising from the Firm’s business activities. Each of its main groups serves a well-defined role: Risk Managers, Research (include Risk Capital, Analytics, and Model Review), Portfolio Analysis & Risk Reporting, and Information Technology.
Based in Budapest the Market Risk Capital Team is seeking a Risk Professional to join the team. This role will be reporting into the Global Head of Market Risk Capital based in New York. This team is responsible for calculating and reporting market risk regulatory capital (including CVA) for the Firm Holding Company and the US-regulated legal entities, in compliance with the regulatory framework.
- Identify and analyze market risk across all business areas and asset classes
- Daily and weekly analysis and commentary on regulatory VaR, Basel 3 measures and outputs
- Present changes in capital and Risk Weighted Assets to internal and external groups
- Assist with the production of the weekly/monthly/quarterly Regulatory Reporting
- Develop tools to improve the analytical power around drivers of risk and capital
- Strong academic background, including an advanced degree or equivalent in a quantitative discipline.
- Excellent quantitative and investigative skills are critical to understanding VaR and regulatory capital processes and conducting analysis to draw conclusions
- An understanding of risk management concepts such as Value-at-Risk (VaR), Stressed-Value-at-Risk (Stressed VaR) and the risk representation of portfolios
- Strong verbal and written communication skills
- Ability to develop good working relationships in teams
- VBA, Python or other programming skills as well as a working knowledge of databases and SQL is advantageous
- Understanding of regulatory capital frameworks, such as Basel 3