EMEA Credit Risk Methodology, IRB Models – Vice President EMEA Credit Risk Methodology, IRB Models – Vice  …

Morgan Stanley
in London, England, United Kingdom
Permanent, Full time
Last application, 25 May 20
Morgan Stanley
in London, England, United Kingdom
Permanent, Full time
Last application, 25 May 20
See job description for details

EMEA Credit Risk Methodology, IRB Models – Vice President

Division: Risk Management Job Title: EMEA Credit Risk Methodology

Location: London Job Level: Vice President

Company Profile

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.

Department Profile

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 the business and providing an effective challenge process. The Credit Risk Methodology Group is responsible for development of credit models for exposure calculations, credit capital calculations and credit risk rating models for risk managements.

Primary Responsibilities

Credit Risk Methodology Group (CRMG) is responsible for the development of credit risk rating models (IRB) for risk management purposes. Primary responsibilities for this role include:

• Develop new or enhance existing IRB models for global use, while ensuring compliance with different regulators (USA, UK, EU, Germany) and internal standards

• Work closely with EMEA Head of IRB and the global CRMG team to execute projects such as

o model developments

o preparation for regulatory workshops

o benchmarking

o model testing and model performance monitoring

• Ensure projects, including model developments and implementations, comply with Global Risk Analytics standards

• Drive enhancements and innovation in model developments and provide leadership

• Coordinate with and support credit analysts, capital teams and model risk management team (among others)

• Support regulatory notification-process for IRB models

• Provide support to regulatory gap assessments


Skills required (essential)

• Master’s degree or PhD degree or equivalent background in a quantitative discipline

• Hands-on experience and solid skills of credit risk modeling

• Experience in developing IRB methodologies is required

• Knowledge of wholesale exposure modelling

• Strong understanding of credit products and associated risks

• Strong statistical, analytical and programming skills (R and Python)

• Experience in SQL is desirable

• Experience in submitting models to regulators and preparing responses to regulatory queries would be an advantage

• Excellent communication, written, presentation and relational skills

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.

Interested in flexible working opportunities? Morgan Stanley empowers employees to have greater freedom of choice through flexible working arrangements. Speak to our recruitment team to find out more.

Given the continued spread of COVID-19 (coronavirus), all interviews will be conducted by phone or virtual connection to protect our candidates and employees.