VP, Market Risk Analytics, Quantitative Development

Firm Risk Management
Morgan Stanley's Firm Risk Management (FRM) Division is an exciting and rapidly growing space. We support Morgan Stanley to achieve its business goals by partnering with business units across the Firm to realize efficient risk-adjusted returns, acting as a strategic advisor to the Board and protecting the Firm from exposure to losses as a result of credit, market, liquidity, model and other risks.
Background on the Position
The role will reside within the Firm Risk Management's Risk Analytics area. Risk Analytics develops market risk, credit risk and scenario analytics models. These mathematical and statistical models provide an overall calculation of market risk across asset classes (e.g. equities, interest rate instruments), the credit risk of borrowers and their expected losses, the calculation of risk in a time of increased economic stress (i.e. stress testing), and the generation of scenarios associated with increased economic stress.

Morgan Stanley is seeking a Vice President to join the Market Risk Analytics (MRA) Engineering Team as a technical lead for strategic coding projects. The new hire will act as a technical lead responsible for the development of Python libraries used to support the analytical needs of various models owned by the MRA team. Models in scope for this development role include VaR, IRC, CRM, time series models (anomaly detection, statistical gap-filling), stress testing models, and the suite of models associated with new FRTB regulation. The new hire will be responsible for technical documentation and ongoing governance of library code.
Primary Responsibilities:
- Design and develop Python analytical libraries supporting needs of the full suite of market risk models
- Be a thought-leader on the design and implementation of analytical frameworks
- Technically own the code library including development, maintenance, testing, and governance
- Effectively collaborate with other MRA teams and partnering areas - Market Risk Management, Model Risk Management, Strats and IT - to deliver on project requirements
- Effectively represent/communicate MRA Engineering Team objectives to a wider audience of project stakeholders and senior managers

Required Experience/Skills:
- Requires a Master's degree in a quantitative field such as Quantitative Finance, Physics, Mathematics, Engineering, Computer Science; and five (5) years of relevant work experience involving a significant quantitative development component;
- Strong Python programming skills and packages used for data manipulation, time series and data analysis required
- Knowledge of machine learning algorithms and techniques particularly in the area of time series anomaly detection, required
- Knowledge of market risk modelling methodologies (value-at-risk, expected shortfall, Greek-based VaR) strongly preferred
- Trading markets knowledge within the FX, rates, credit, equity, commodity space strongly preferred
- Strong written and verbal communication skills essential
- Project organizational competency and team leadership skills essential

Expected base pay rates for the role will be between $120,000 and $200,000 year at the commencement of employment. However, base pay if hired will be determined on an individualized basis and is only part of the total compensation package, which, depending on the position, may also include commission earnings, incentive compensation, discretionary bonuses, other short and long-term incentive packages, and other Morgan Stanley sponsored benefit programs.

Morgan Stanley's goal is to build and maintain a workforce that is diverse in experience and background but uniform in reflecting our standards of integrity and excellence. Consequently, our recruiting efforts reflect our desire to attract and retain the best and brightest from all talent pools. We want to be the first choice for prospective employees.

It is the policy of the Firm to ensure equal employment opportunity without discrimination or harassment on the basis of race, color, religion, creed, age, sex, sex stereotype, gender, gender identity or expression, transgender, sexual orientation, national origin, citizenship, disability, marital and civil partnership/union status, pregnancy, veteran or military service status, genetic information, or any other characteristic protected by law.

Morgan Stanley is an equal opportunity employer committed to diversifying its workforce (M/F/Disability/Vet).

Firm Risk Management values diversity and is committed to providing a supportive and inclusive workplace for all employees.

This role is hybrid and currently requires in office attendance 3 days/week. The in office requirement is subject to change at any time.