Market Risk Capital – Vice President
- London, England, United Kingdom London England GB
- Permanent, Full time
- Morgan Stanley
- 23 Apr 18 2018-04-23
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 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.
As part of the Risk Division, the Portfolio Management, Stress & Capital function is responsible for computing, assessing, stressing and managing the portfolio of risk and related capital, as well as leading the Division’s contribution to enterprise-wide programs depending on risk or risk-based capital. Within the function, the Market Risk Capital team contributes to a wide variety of Market Risk capital-related projects and initiatives (e.g. ICAAP), and the market risk capital reporting process, including review and analysis of the composition of the portfolio as well as key drivers of movements.
The Portfolio Management, Stress & Capital function is seeking Vice President for the Market Risk Capital team, based in London. The role holder will take ownership of running the reporting and analytical review process for Market Risk and XVA Risk capital calculations. In addition, the role holder will be responsible for delivering Market Risk Capital outcomes on a wide variety of other deliverables including Pillar 3, the internal capital adequacy assessment process (ICAAP), capital impact analysis for business/strategic initiatives, and risk and control self-assessments.
The position requires an expert understanding of Market Risk management fundamentals including products, trading strategies, booking models, risk data and metrics, risk and capital models/methodologies, and risk systems. Also required is a strong understanding of current and evolving Basel regulatory Market Risk and CVA Risk capital calculations and methodologies, as applied to a Tier 1 sales and trading institution. Candidates with strong a track record of experience and success in these areas are encouraged to apply.
• Lead the Advanced Market Risk (VaR, Stressed VaR, Incremental Risk Charge, Comprehensive Risk Measure, Risks not in VaR) and XVA Risk capital calculations, reporting and analytical review for the UK and European regulated entities
• Lead and manage a small Market Risk Capital production team based in Budapest
• Deliver insightful analysis and management information to support review and assurance of the Market Risk regulatory capital position and provide clear, concise and precise responses to information requests from senior management and home/host regulatory authorities
• Contribute to efficiencies and enhancements to deliver best-in-class Market Risk Capital regulatory reporting outcomes, including daily, monthly and quarterly reporting (COREP and Pillar 3), while maintaining robust process and control. This would include design, development and implementation of tactical tools and strategic system changes
• Critically review and evaluate the adequacy of the capital (i.e. ICAAP) held for the Market Risk and XVA Risks for the Firm’s UK and European legal entities
• Perform self-assessments of the Firm’s compliance with complex evolving Market Risk and XVA Risk prudential regulation, and contribute to the development of internal policies and procedures
• Perform, and participate in, regulatory and capital analysis of new products and proposals initiated by the business units and the Firm, and provide recommendations to the business units and Risk senior management
• Foster good relationships with stakeholders in Finance and Market Risk Coverage
Skills required (essential)
• Experience in related roles in a similarly complex sales and trading institution
• Quantitative/analytical background required (e.g. finance, accounting, mathematics, STEM, law, economics, etc.)
• Strong written and verbal communication, and interpersonal skills, with demonstrated experience with cross-functional engagement (Finance, Treasury, Analytics, IT) and dealing with all levels of management from diverse academic and cultural backgrounds
• Expert understanding of current and evolving Basel regulatory Market Risk and XVA Risk capital calculations and methodologies, as applied to a Tier 1 sales and trading institution
• Strong understanding of Market Risk management fundamentals including products, trading strategies, booking models, risk data and metrics, risk and capital models/methodologies, and risk systems
• Capability, experience and comfort in reviewing, interpreting and assessing the implications of complex (Basel) prudential regulation
• Excellent organisational skills to meet challenging objectives and manage competing priorities
• Excellent Excel and Powerpoint skills, with databases and programming experience (SQL, Access, VBA etc.) desirable
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