JR000427 Assistant Vice President, Strats - New York, NY
Job Information
ID :
#41263835
# of Positions :
1
Minimum Education Level :
Master's Degree
Experience Required :
2 years
Salary :
$163000 yearly
Duration :
Full Time Regular
Shift :
First Shift (Day)
Hours per week:
40
Job Description
Morgan Stanley Smith Barney LLC seeks an Assistant Vice President, Strats in New York, NY
Develop and enhance Mortgage Stress Loss models, used for annual Firm-wide CCAR submissions and the Bank Capital Planning Process ("BCPP"), to forecast losses in Held for Investment (HFI) portfolio under various forward looking macroeconomic scenarios. Develop Mortgage New Origination Volume model for firm’s annual budgeting and capital planning with time series framework, based on analysis of borrowers’ behavior. Design Allowance for Credit Loss (ACL) methodology to forecast the lifetime expected credit losses, ensure the loss reserves are established and maintained at adequate levels. Implement Mortgage Stress Loss models for response to the Federal Reserve Board’s Pilot Climate Scenario Analysis (FRB CSA) and evaluate the financial impact of climate change on mortgage losses under various environmental risk factors. Monitor the models’ performance and provide model diagnostic tests to ensure model accuracy and compliance with regulatory standards. Prepare model documentations to explain model framework, data structure, and model results. Participate in model review discussions with Internal Model Risk Management team to ensure models are satisfied with the regulatory requirements.
Requirements:
Requires a Master's degree in Information Systems, Statistics, or a related field of study and two (2) years of experience in the position offered or two (2) years as an Associate, or a closely related occupation. Requires two (2) years of experience with: statistical modeling; new origination mortgage model; stress testing, time series analysis, and forecasting; data management and manipulation; Data Analytics tools including Dataiku and Hadoop; scenario and sensitivity analysis; economic modeling; regulatory compliance; statistical software including R, SAS, PyTorch, and Python; Excel, and Data visualization.
Qualified Applicants:
To apply, visit us at https://morganstanley.eightfold.ai/careers?source=mscom and enter JR000427 in the search field. No calls please. EOE
Develop and enhance Mortgage Stress Loss models, used for annual Firm-wide CCAR submissions and the Bank Capital Planning Process ("BCPP"), to forecast losses in Held for Investment (HFI) portfolio under various forward looking macroeconomic scenarios. Develop Mortgage New Origination Volume model for firm’s annual budgeting and capital planning with time series framework, based on analysis of borrowers’ behavior. Design Allowance for Credit Loss (ACL) methodology to forecast the lifetime expected credit losses, ensure the loss reserves are established and maintained at adequate levels. Implement Mortgage Stress Loss models for response to the Federal Reserve Board’s Pilot Climate Scenario Analysis (FRB CSA) and evaluate the financial impact of climate change on mortgage losses under various environmental risk factors. Monitor the models’ performance and provide model diagnostic tests to ensure model accuracy and compliance with regulatory standards. Prepare model documentations to explain model framework, data structure, and model results. Participate in model review discussions with Internal Model Risk Management team to ensure models are satisfied with the regulatory requirements.
Requirements:
Requires a Master's degree in Information Systems, Statistics, or a related field of study and two (2) years of experience in the position offered or two (2) years as an Associate, or a closely related occupation. Requires two (2) years of experience with: statistical modeling; new origination mortgage model; stress testing, time series analysis, and forecasting; data management and manipulation; Data Analytics tools including Dataiku and Hadoop; scenario and sensitivity analysis; economic modeling; regulatory compliance; statistical software including R, SAS, PyTorch, and Python; Excel, and Data visualization.
Qualified Applicants:
To apply, visit us at https://morganstanley.eightfold.ai/careers?source=mscom and enter JR000427 in the search field. No calls please. EOE
Company Information
Name :
Description :
Global Financial Services
Type :
Direct Employer
Address :
1585 Broadway
New York, NY 10036
New York, NY 10036
Application Information
Online :
Job Posting Entered On :
3/10/2025
Job Posting Expires On :
4/9/2025
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