Counterparty and CVA Market Specialist

  • Competitive
  • New York, NY, USA New York NY US
  • Permanent, Full time
  • Morgan Stanley USA
  • 19 Mar 18 2018-03-19

Counterparty and CVA Market Specialist

Background on the Position
Morgan Stanley is seeking a strong analyst/associate level candidate to join its Market Risk Stress Testing Department, based in New York. The candidate will part of a team, which is primarily responsible for identifying, assessing, and monitoring stress testing results 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.

Primary Responsibilities
The role is a part of a multi-disciplinary risk team and encompasses extensive interaction with XVA risk managers and other control groups. Specific responsibilities include:

  • Development of a suite of comprehensive stress tests and risk analytics to highlight key risks and improve accuracy of CVA and counterparty risk measurement.
  • Detailed analysis highlighting both direct and indirect vulnerabilities in the portfolio
  • 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.
  • Work closely with XVA risk managers to validate inputs, design appropriate scenarios, verify shock implementation and communicate results.
  • Communication of results of analyses with relevant stakeholders.


Skills Required
  • Excellent academic background, preferably with a degree in business, finance or a quantitative discipline
  • Relevant experience working in trading, risk or finance / treasury at a large financial institution is a plus but not required
  • Quantitative orientation with strong intuition and ability to make judgments based on incomplete data. Ability to synthesize complex problems and conceptualize appropriate solutions
  • Excellent communication skills for verbal, written and verbal presentations
  • Proactive attitude with ability to work as both part of a close-knit team and independently
  • Strong technical skills, including high proficiency in Excel. Candidate should demonstrate database fluency and be comfortable working with large datasets via SQL
  • Familiarity with statistical packages (e.g., MATLAB, or R )