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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 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.
Credit Risk Methodology Group (CRMG) is responsible for the development of Counterparty Credit Risk (CCR) exposure models and methodologies for exposure calculations, credit capital calculations and internal risk management. This position sits within the EMEA CRMG team and work closely with the global CRMG function across the world. EMEA CRMG represents the function responsibilities in the EMEA region and specifically covers the UK and EU entities. The particular focus is to ensure the requirements from regional regulators and reginal entity stakeholders are met across all Counterparty Credit Risk activities for which CRMG is responsible. CRMG works closely with Credit Officers, CVA Strategists, Front Office Quant, IT and Finance on an ongoing basis. The team has significant amount of interaction with regulators for various advanced model applications and in episodic supervisory reviews.
Developing and testing internal CCR exposure models and methodologies across all the asset classes (Equity, Rates, FX, Inflation, Credit, Commodities).
Enhancing existing simulation models of market factors and pricing models of derivatives.
Prototyping the simulation and pricing models implemented in Production for risk analytics and model assessment.
Benchmarking the pricing models in Risk to the models used in trading.
Monitoring and enhancing various Risk frameworks, e.g. model backtesting, Risk not in IMM etc.
Ensuring Morgan Stanley UK/EU entities complaint with regulatory requirements for Internal Model Method (IMM).
Responding to regulators with respect to any request regarding the IMM methodology.
Supporting model validation of CCR exposure models globally by delivering quantitative justification and analysis responding to any identified model limitations.
Working in advisory capacity to local and global risk managers and Front Office to ensure risk is appropriately captured in the systems.
Supporting credit risk stress testing methodologies and framework.
PHD or MSc in a numerical subject or quantitative discipline such as mathematics, physics, engineering, statistics or computing science.
Strong programming skills in Python and C++.
Familiarity with database and SQL.
Theoretical understanding and familiarity with derivative pricing models and stochastic calculus.
Strong analytical and problem solving ability.
Good communicational, writing and presentational skills.
Experience in a quantitative group at a commercial, investment bank or a consulting firm.
Relevant experience in a quantitative role at an investment bank or trading firm.
Experience with (American) Monte Carlo simulation, PDE and numerical analysis.
Experience of developing models with other programming languages (e.g. JAVA, MATLAB).
Statistical skills (e.g. probability theory, time series) and familiarity with statistical packages would be desirable but not required.
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.