IMM Credit Risk Methodology, Risk Analytics - Vice President

  • Competitive
  • London, England, United Kingdom
  • Permanent, Full time
  • Morgan Stanley
  • 23 Feb 18 2018-02-23

See job description for details

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 IMM credit risk models for exposure calculations, credit capital calculations and and credit risk rating models (IRB) for risk management. This position will sit in the EMEA CRMG team focused on IMM credit risk models and work closely with IMM analytics team within Global CRMG function in US. EMEA CRMG represents the function responsibilities in the EMEA region and specifically covers the UK Group entities. Particular focus is to ensure regional entity stakeholders’ requirements, stands and practices are met across all Counterparty and Credit risk activities for which CRMG is responsible.

• Developing IMM credit exposure methodologies, implementing and testing credit exposure models (initial Margin, cashflow spikes, Monte carlo convergence).
• Liaise with Credit IT on the enhancement of exposure methodologies.
• Monitoring and enhancing various Risk frameworks; Backtesting, RNIMM etc.
• Performing self-assessment for counterparty credit risk models and ensuring Morgan Stanley UK group remains complaint with regulatory requirements from PRA and BaFin for Internal Model Method (IMM).
• Supporting regulatory disclosures related to IMM.
• Co-ordinating regulatory responses with respect to the IMM methodology for both PRA and BaFin.
• Supporting credit risk stress testing methodologies and framework.
• Working in advisory capacity to local and global risk managers and Front Office to ensure risk is appropriately captured in the systems.
• Supporting annual model validation of the exposure models.


Skills required (essential)

• MSc or PHD, or equivalent in highly quantitative subject such as maths, physics, finance or engineering.
• Strong analytical and programming skills (Python).
• Familiar with database and SQL.
• Excellent communication, written, presentation and relational skills.
• Up to date working knowledge of the regulatory requirements and change, specifically those emanating from Basel and EU regulatory authorities including PRA.
• Experience in a quantitative group at a commercial, investment bank or a consulting firm.
• Statistical skills (e.g probability theory, time series) and familiarity with statistical packages would be desirable but not required.
• Experience with Monte Carlo simulation and numerical analysis.
• Experience with other programming languages (MATLAB, C++ and JAVA) would be a plus.

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.*LI-CL1