Executive Director - Credit Rating Analytics


Company:: Morgan Stanley
(View company profile)
Location:: New York City, NY
Job Type:: Full Time
Category:: Investment Banking


Posted:: 2/10/2013

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Job Description

Position Category: Risk Management

Position Title: Executive Director - Credit Rating Analytics

Job Level: Executive Director

Location: USA - NY - New York

Education Required: Masters Degree

Position Description:
Position Summary:
The successful candidate will lead a small team that develops and documents rating models that quantify various aspects of credit risk, such as probability of default and loss given default. He or she will be a member of the Credit Capital and Rating Analytics Group and will work closely with the firm's Credit Research Analysts.

Morgan Stanley Credit Risk Management Department:
In order to protect Morgan Stanley from losses resulting from counterparty default, the Credit Risk Management Department conducts research to determine the risks arising from transactions with lending and trading counterparties. Utilizing credit rating models and expert judgment, Credit Research Analysts assign counterparties a credit rating to denote the level of risk taken by the firm. On this basis, the Credit Risk Management Department approves or rejects all material requests for loans or derivatives from our clients. The assigned credit ratings also serve as input into the firm's Basel II/III credit capital calculation.

Credit Capital and Rating Analytics Group:
This group is responsible for building credit rating models and calculating credit risk capital.

Primary Responsibilities:
• Lead a team that, working closely with Credit Research Analysts, develops and documents credit rating models that quantify various aspects of credit risk such as
o Credit ratings,
o Default probabilities,
o Loss given default, and
o Exposure given default.
• Ensure Basel IRB compliance of these models
• Interact with the firm's regulators

Skills Required:
• Masters degree, Ph.D., or equivalent background in a quantitative discipline
• 7-12 years of work experience in Finance industry, preferably in a bank
• Work experience related to credit rating models
• Knowledge of statistics
• Leadership skills
• Team player with strong interpersonal and communication skills
• Programming skill in a high-level language such as Matlab or SAS

Skills Desired:
• Familiarity with Basel rules
• Experience in working with bank regulators
• Knowledge of mathematical modeling

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