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Vice President - Liquidity Risk Stress Testing

Posted on Jan 24, 2019 by Morgan Stanley USA

New York, NY 10001
2 Jan 2019
Annual Salary
Morgan Stanley
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.

The talent and passion of our people is critical to our continued success as a firm. Together, we share four core values rooted in integrity, excellence and strong team ethic:
1. Putting Clients First
2. Doing the Right Thing
3. Leading with Exceptional Ideas
4. Giving Back

Morgan Stanley is committed to helping its employees build meaningful careers and we strive to be a place for people to learn, achieve and grow.

Firm Risk Management
Firm Risk Management (FRM) enables 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, operational, model and other risks.

Our mission is to serve as the follow roles:
  • Independent agent to set consistent principles and disciplines for risk management
  • Strategic advisor to Firm management for setting risk appetite and allocating capital
  • Industry leader to influence and meet regulatory standards

You will collaborate with colleagues across FRM and the Firm to protect the Firm's capital base and franchise, advise businesses and clients on risk mitigating strategies, develop tools and methodologies to analyze and monitor risk, contribute to key regulatory initiatives and report on risk exposures and metrics to enable informed and strategic decision-making. Through thoughtful analysis and clear communication we are best able to bring our ideas to the table and improve the Firm.
Firm Risk Management values diversity and is committed to providing a supportive and inclusive workplace for all employees.
Firm Risk Management's unique franchise promotes:

ü Flat, flexible and integrated global organization
ü Collaboration and teamwork
ü Credible, independent decision-making
ü Organizational influence
ü Creative and practical solutions
ü Meritocratic and diverse culture

Background on the Position
The role will reside within the Firm Risk Management's Liquidity Risk Department which is a team dedicated to providing independent oversight of the Firm's business activities, serving as a second line of defense to ensure that the size and composition of the Firm's liquidity resources are adequate in amount and quality. The Liquidity Risk Department reports to the Chief Risk Officer and is responsible for independent oversight and monitoring of the Firm's overall trading, funding, financing and banking businesses, liquidity and interest rate risk limit setting, risk assessment and analysis, and management and regulatory reporting, including adherence to relevant regulatory requirements.

Position Description
The Liquidity Risk Department seeks a professional with previous risk and stress testing experience to join at the Vice President level. The role is for a US Bank risk manager covering the Bank's deposit liquidity risk stress testing and responsible for detailed analysis and design of deposit stress testing scenarios. The candidate will work closely with the Bank Liquidity Risk and Market Risk teams.

Primary Responsibilities
  • Develop new and enhance existing stress testing design and calibration methodologies covering the Bank deposit product suite
  • Produce in depth analysis of stress testing results and communication to key stakeholders
  • Create high quality reports for Boards, Regulators and internal use on a regular basis
  • Innovate ways to identify key risks/concentrations and implement processes to actively monitor these risks
  • Run 'what if' simulations to help identify portfolio sensitivities
  • Review and challenge existing stress models
  • Liaise with Corporate Treasury, business units and risk managers to ensure the appropriateness of the representation of liquidity risks


Skills Required

  • Degree in a quantitative field such as computer science, applied mathematics, physics or financial engineering
  • 4-8 years relevant work experience in a quantitative risk management role with a focus on stress testing at a commercial bank, investment bank, or consulting firm
  • Broad knowledge of and practical experience in various deposit products
  • Understanding of stress testing financial products. Background in different stress testing methodologies, including behavioural methodologies desirable.
  • Ability to handle and analyze large data sets. Proficiency in Matlab / R is highly desirable. Proficiency in Excel, SQL and VBA is required.
  • Strong background in methodology and process documentation
  • Ability to work under time pressure

Vice President - Liquidity Risk Stress Testing

Reference: 620553234