Job Information
Morgan Stanley Smith Barney, LLC Assistant Vice President, Strats in New York, New York
Morgan Stanley Smith Barney LLC seeks an Assistant Vice President, Strats in New York, NYDevelop 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
Minimum Salary: 163000 Maximum Salary: 163000 Salary Unit: Yearly