Morgan Stanley is seeking highly motivated quantitative analyst/manager to lead the development and maintenance of stress testing methodologies, manage the validation of statistical-based risk rating models (Probability of Default, Loss Given Default and Exposure at Default) for both retail and wholesale, manage the Bank’s model compliance to Basel AIRB requirements and the securitization framework, assess credit model effectiveness, and develop methodologies for setting credit risk limits.
Managing a small team of quantitative analysts, this position will report to the managing director and head of the Credit Risk Methodology group.
• Coordinate the development, maintenance and enhancement of macroeconomic models used in the annual Federal Reserve’s Comprehensive Capital Analysis and Review (CCAR) exercise.
• Develop and implement methodologies to assess the credit portfolio’s default loss during periods of stress and prepare/analyze stress reports as per internal procedures or as may be required.
• Provide quantitative support to the Portfolio Analytics team and other functional areas.
• Work with appropriate groups to resolve data and remediate data quality issues.
• Manage the maintenance of data sets used in the statistical analysis and validation of the PD, LGD, EAD, and stress testing models.
• Be the point person in all internal audit and regulatory reviews regarding credit model validation and stress testing.
• Manage the review and validation of retail and wholesale credit risk models, ensuring their compliance with regulatory requirements (applying model validation guidelines from the regulators). As part of model validation, develop tools and prototype statistical models.
• Manage the review and validation of the firm’s Basel securitization framework.
• Maintain the stress testing and model validation procedures, ensuring they are updated and conform to the latest regulatory requirements and guidelines.
• Ensure that the team is in compliance with all internal policies and procedures related to stress testing and credit model validation.
• Prepare quarterly credit rating system performance report and present to the bank’s credit risk metric governance body.
• Manage the remediation of any Internal Audit issue or regulatory MRA (matter requiring Attention) related to stress testing methodology and credit model validation.
• Manage the development and maintenance of credit limit setting methodologies.
• Advanced Degree in Economics, Finance, Mathematics and Statistics (PhD preferred)
• 7+ years of progressive experience in econometric/statistical credit risk modeling and analytics with a commercial bank/financial institution or risk consulting
• Very strong leadership quality with excellent organizational and communication (verbal and written) skills and experience in managing a team of quantitative analysts.
• Fluency and/or experience with Basel 2 and 3 rules.
• Strong knowledge or practice of financial, mathematical, and statistical theory.
• Familiarity and general business knowledge of commercial and retail banking products, operations and credit processes.
• Strong familiarity and or experience in Basel 2 IMM (Internal Model Method).
• Experience in developing macroeconomic forecasting and time-series models.
• Experience in developing or validating credit rating methodologies.
• Experience in developing and implementing stress testing models.
• Strong functional knowledge of relational databases and statistical software packages (specifically MATLAB).