Quantitative Market Risk Analytics Associate - FRTB Prgramme

  • Competitive
  • London, England, United Kingdom London England GB
  • Permanent, Full time
  • Morgan Stanley
  • 19 Apr 18 2018-04-19

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.

Department Profile

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 business management and providing an effective challenge process.
As part of the EMEA Risk Management Division, the Market Risk Department identifies, measures, monitors, advises, challenges and controls market risks generated by the UK Group market-making and banking activities, acting independently of business management and providing an effective challenge process. The Market Risk Department comprises of various functions including Risk Managers, Stress Testing, Legal Entity Portfolio, Projects and Middle Office (data management).

Primary Responsibilities

The EMEA Risk Management Division is responsible for the independent identification, reporting and escalation of risks, including market, credit and operational risk. This Division has dedicated teams covering Risk Analytics, Capital and Stress Testing, as well as coverage teams for risk types.
The EMEA Market Risk Analytics team develops and monitors regulatory capital models such as VaR and IRC. The Risk Capital function uses those models for the production of risk-based capital under regulatory approvals such as IMA.
EMEA Market Risk Analytics professionals are located in London and Budapest and work closely with Front Office Quantitative Strategists, Market Risk Managers and Model Risk Management across the relevant model areas.

The role is for a junior quantitative analyst to join EMEA Market Risk Analytics at an Associate level. This position will have a particular focus on FRTB, the new capital requirements framework for market risk.

The role includes the following primary responsibilities:
• Supporting the EMEA Risk Analytics team in various aspects of FRTB documentation, development and implementation as follows:
- Standardised approach
- Expected Shortfall
- Non-modellable Risk Factor
- P&L attribution
• Working with Business Analysts to gather requirements and validate calculations
• Performing ongoing and ad hoc analyses on model limitations
• Attending the relevant FRTB working groups
• Any further tasks as required by the FRTB Quantitative Specialist


Skills required (essential)

• Either a Ph.D. (or equivalent) in a quantitative field Or an MSc (or equivalent) in a quantitative field with some experience gained in a similar role at an investment banking institution.
• Strong knowledge of mathematical finance and statistical techniques.
• Programming experience covering some of R, MatLab, Excel VBA, Java, SQL, Python in addition to familiarity with IDEs.
• Clear thinking, good business sense and judgment.
• Strong verbal and written communication skills.
• Resilient, self-managing & highly organised with a team-orientated mindset.

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