Morgan Stanley - Market Risk Role - Stress Testing

Background on the Team

The Morgan Stanley Market Risk Department (MRD) seeks a professional for a market risk role leading the Market Risk Stress Testing function in Mumbai. Market Risk Stress Testing is responsible for coordinating, implementing, and executing stress testing processes as they relate to risks arising from the Firm's trading, counterparty, and Credit Valuation Adjustment (- CVA- ) activities. The team directly contributes to the calculation of stress loss results for regulatory submissions, such as CCAR, as well as in-house stress tests.

Primary Responsibilities

- Working on market risk or counterparty stress scenarios

- Develop and maintain a comprehensive suite of stress scenarios for the Firm's trading and CVA/counterparty portfolios

- Work on strategic initiatives with Pricing Model Developers, Risk Infrastructure and technology to develop and execute plans for improving the Firm's stress testing capability

- Work on strategic build out of tools for monitoring and analyzing stress losses across the traded option and vanilla portfolios on a timely basis and with precision. Support the NY and London product experts in reporting and explanation of stress loss to Senior Risk Managers and Trading / CVA desk

- Support the daily production of stress loss results for the US FED CCAR Scenarios, UK PRA Scenario and for internal Business As Usual scenarios used within risk management and limit setting

Skills Required

To be successful, candidates will benefit from relevant experience, a strong desire to learn, and the ability to work on a small specialized team. Strong quantitative skills, as well as oral and written communication will aid the effort to analyze and communicate risk changes across complex option portfolios, as well as perform tasks in a challenging and fast paced environment.

- Master's degree in finance, statistics/econometrics, engineering or a related field

- Proven experience managing medium size team

- Strong understanding of the market or counterparty risk associated with traded products within Equity or Fixed Income markets

- Familiarity with models/methodologies used in the pricing of Equity Derivatives, Swaps or other fixed income products, and/or CVA will be a plus

- Strong Familiarity with regulatory requirement with respect to Stress Testing of trading or counterparty portfolios

- Proficient in programming language such R, Matlab and with databases / SQL

- CFA or FRM is a plus