EMEA Credit Stress Testing Vice President
- London, England, United Kingdom
- Permanent, Full time
- Morgan Stanley
- 23 Jan 18 2018-01-23
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 cornerstone of Morgan Stanley's risk management philosophy is the execution of risk-adjusted returns through prudent risk-taking that protects Morgan Stanley's capital base and franchise. Risk Management protects the Firm from exposure to losses resulting from defaults by our lending and trading counterparties.
Credit Risk Management (CRM) evaluates credit risk transactions and approves rejects or modifies them considering the availability and appropriateness of arrangements for reducing risk or risk mitigation. The department also assigns Internal Credit Ratings; establishes and manages credit risk limits in accordance with the risk tolerance established by the Board; monitors and reports on credit risk exposures on a regular basis to the Chief Risk Officer and senior management. CRM also interacts with business units to ensure that credit risk assessments are factored into business decisions.
The role sits within the EMEA Credit Stress Testing & Portfolio Management Team, whose objective is to develop and maintain best practice credit stress testing capabilities and to assist Credit Risk Officers in analysing the results.
Key responsibilities include:
• Perform stress test calculations using internal credit risk exposure models for EMEA or UK Group portfolios across asset classes, including:
o OTC derivatives
o Securities Financing Transactions (SFT), including Prime Brokerage
o Loan products
• Validate stress test results ensuring accuracy by working closely with:
o Credit Risk Methodology Group (CRMG) on understanding and challenging existing methodologies for the calculation of different risk metrics
o Credit Middle Office and Credit IT to identify and resolve data quality issues
• Close coordination with Credit Risk Officers and EMEA Portfolio Risk Team for in-depth quantitative and qualitative analysis of the stress test results
• Preparation of materials and presentation of credit stress testing results at risk committees.
Skills required (essential)
• University degree in Engineering, Quantitative Finance or another quantitative discipline (or equivalent), plus proven experience in Counterparty Credit risk, stress testing, Financial Modelling and related risk functions.
• Strong analytical skills and familiarity with Counterparty Exposure management, including industry standard models used (e.g. potential exposure, expected loss)
• Ability to work independently in a self-directed way to thrive in a collaborative, team oriented environment
• Detail oriented with strong organizational skills, such as ability to prioritize, multi task and meet deadlines in fast paced environment
• Strong communications skills, verbal and written, including ability to summarize key messages
• Excellent working knowledge on SQL and Excel VBA. Knowledge on Matlab and Python is 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