EMEA Risk Analytics – Market Risk Quantitative Associate

  • Competitive
  • London, England, United Kingdom London England GB
  • Permanent, Full time
  • Morgan Stanley
  • 18 Aug 18 2018-08-18

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.

Team Profile
The EMEA Risk Analytics team within Morgan Stanley’s Market Risk Department is responsible for development of the Firm’s risk models, which are used for internal risk management and for computation of regulatory capital requirements.

The position is for a quantitative analyst with direct experience in market risk modelling. The position reports to the EMEA Head of Market Risk Methodology and forms an integral part of the Global team, which has presence in New York, London and Budapest.

Primary Responsibilities
• Provide research and analytical support to London risk teams for market risk models including VaR, Stressed VaR, IRC and CRM
• Research model developments to guarantee ongoing compliance with UK regulatory requirements
• Liaise with global teams
• Oversee implementation of model changes
• Respond to audit, validation or regulatory requests on a timely and accurate basis and work closely with other Market risk departments



Qualifications:


Skills required (essential)
• Familiarity with at least some of the following market risk models: VaR, IRC, CRM, CVA VaR.
• Detailed knowledge of at least one asset class such as Equities, Rates, Traded Credit, FX or Commodities.
• Up-to-date working knowledge of Basel/CRD IV.
• MSc or PhD, or equivalent, in a quantitative discipline such as economics, mathematics, physics, or engineering.
• Good knowledge of stochastic calculus, Monte Carlo, PDE and other numerical techniques.
• Good programming skills.
• Proficient written and verbal communication skills.
• Proficient ability to work as part of a team.

The closing date for applications is 28/08/2018

The Salary for this role is competitive

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.