CVA/XVA Market Risk Manager - Vice President
- London, England, United Kingdom
- Permanent, Full time
- Morgan Stanley
- 22 Sep 17
See job description for details
Morgan Stanley is a leading global financial services firm providing a wide range of investment banking, securities, investment management 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.
As a market leader, the talent and passion of our people is critical to our success. Together, we share a common set of values rooted in integrity, excellence and strong team ethic. Morgan Stanley can provide a superior foundation for building a professional career - a place for people to learn, to achieve and grow. A philosophy that balances personal lifestyles, perspectives and needs is an important part of our culture.
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. The EMEA Risk Management Division is responsible for the independent identification, analysis, reporting and escalation of all market, credit and operational risk exposures arising from UK Group business activities, acting independently of business management and providing an effective challenge process.
Morgan Stanley is seeking a Vice President to join its Market Risk department, based in London. The candidate will join the XVA coverage team, which is primarily responsible for identifying, assessing, and monitoring mark-to-market risks arising from the counterparty exposures of the Firm’s derivatives portfolio. Product coverage includes multi-asset class risks across the Firm’s CVA (Credit Valuation Adjustment), FVA (Funding Valuation Adjustment), CTDVA and other items related to mark-to-market risk on the Firm’s counterparty portfolio.
The role is located on the trading floor in a small multi-disciplinary risk team and encompasses extensive interaction with traders and other control groups.
• Identification, assessment and monitoring of counterparty mark-to-market risks across the portfolio, including implementation of processes to actively monitor these risks. Calibration and enforcement of risk limits aligned with the Firm’s risk appetite. Oversight of the risk monitoring process.
• Active dialogue with business units, risk management colleagues, and other groups regarding business strategies, risk representation, and limit compliance.
• Detailed risks analysis, highlighting both direct and indirect vulnerabilities in the portfolio. Development of a suite of comprehensive stress tests to highlight key risks, and projects to improve accuracy of XVA measurement.
• Work closely with stress testing team to validate inputs, design appropriate scenarios, verify shock implementation and communicate results.
• Communication of results of analyses with relevant stakeholders. Preparation and presentation of briefings to senior management, Boards, and regulators on key risk issues on a regular basis.
Skills required (essential)
• Excellent academic background, preferably with a degree in financial engineering or equivalent.
• Relevant experience working in a Market Risk department at a large financial institution. Preference for candidates with front office or desk-facing experience.
• In-depth knowledge of fixed income products with preference for candidates with broader experience. CVA / XVA and Counterparty risk experience is required.
• Excellent communication skills for verbal, written and verbal presentations. Ability to condense complex details into narratives suitable for communication with senior officers of the Firm.
• Proactive attitude with ability to work as both part of a close-knit team and independently
• Quantitative orientation with strong intuition and ability to make judgments based on incomplete data. Ability to synthesize complex problems and conceptualize appropriate solutions.
• Strong technical skills, including high proficiency in Excel. Programming skills (VBA, R) are advantageous. Candidate should demonstrate database fluency and be comfortable working with large datasets via SQL.
• Experience with risk systems processes and infrastructure, particularly as used in stress testing.
The Salary of this role is competitive
The closing date for applications is 20/10/2017
Morgan Stanley is an equal opportunities employer. We work to provide a supportive and inclusive environment where all individuals can maximise their full potential. Our skilled and creative workforce is comprised of individuals drawn from a broad cross section of the global communities in which we operate and who reflect a variety of backgrounds, talents, perspectives and experiences. Our strong commitment to a culture of inclusion is evident through our constant focus on recruiting, developing and advancing individuals based on their skills and talents.