Vice President, Risk Management Analytics, USA-NY-New York City

Company: Morgan Stanley
Location: USA-NY-New York City
Remuneration: not disclosed
Position Type: Permanent
Employment type: Full time
Updated: 02 Jul 2009

Position Description:
Morgan Stanley & Co. Inc. seeks Vice President, Risk Management Analytics in New York, NY to perform statistical analysis of financial market prices and rates, estimate individual and panel elasticity of volatility, run stationarity and goodness-of-fit tests and calculate nonparametric estimators of diffusion functions to determine appropriate functional form of risk representation, and research nonparametric and semi-parametric statistical methods for portfolio tail risk attribution. Develop model of credit default swap risk and bond-CDS basis with data-driven flexible functional form. Research parametric asymptotic refinements as well as nonparametric and semi-parametric statistical methods for portfolio tail risk attribution (marginal and component VaR) to ensure balanced capital charge allocation across business units. Backtest risk measures based on statistical risk aggregation versus measures based purely on sensitivities (Greeks). Decompose equity and credit risks into systematic and name-specific (idiosyncratic) components and analyze distributional properties of idiosyncratic risks. Develop and maintain on a daily basis incremental event risk model for credit-risky exposures based on statistical analysis of defaults and default-like events for corporate and securitized credit instruments. Track marginal VaRs of top exposures. Propose new model elements to comply with increasing regulatory emphasis on complementary capital adequacy coverage for risks not captured in VaR, including the link between equity and credit, expanding the set of modeled events with large potential price impacts, and accounting for cashflow waterfall logic for tranches of securitized products or corporate debts of different seniority. Perform analysis of correlation dynamics for multi-currency products. Compose technical documentation for new models.

REQUIREMENTS:
Master's degree or equivalent in Finance, Economics, Statistics or a related quantitative field and 3 years of experience performing econometric and quantitative analysis of financial markets for a global financial services institution. Experience must include developing and maintaining multi-factor models to assess corporate credit spread risk; providing principal component analysis of interest rates, implied volatilities and credit spreads to calculate and optimize Value-at-Risk (VaR); analyzing and reviewing risk representations of derivatives portfolios; and developing and designing programs utilizing Matlab, Excel, Stata, WinBUGS and SQL.


QUALIFIED APPLICANTS: Please apply through this website or e-mail your resume to efc56549@msresumes.com. NO CALLS. EOE


Skills Required:
Please see position description above.