Asset Liability Management Risk Manager

Asset Liability Management Risk Manager

Morgan Stanley seeks an analytical individual for its Firm Risk Management team, focusing on Asset Liability Management (ALM) Risk. This role is responsible for identifying, assessing, and monitoring interest rate risk in the banking book, and establishing risk appetite limits. The position offers high visibility, working closely with Corporate Treasury, the Chief Investment Office (CIO), and senior risk management leadership. It provides exposure to firm-wide balance-sheet strategy, interest rate risk governance, and regulatory engagement. Ideal candidates are comfortable with large datasets and risk metrics, and eager to apply SQL and Python to real-world balance-sheet and risk management challenges.

Primary Responsibilities

• Identify, assess, and monitor key banking book interest rate risk metrics, including Net Interest Income (NII) and Economic Value of Equity (EVE) sensitivities.
• Analyze banking book portfolios (deposits, debt issuance, derivatives, investment securities) to understand risk drivers and structural exposures.
• Develop and maintain analytical tools and datasets using SQL and Python to support risk monitoring, ad-hoc analysis, and reporting.
• Partner with Corporate Treasury, CIO, and risk management colleagues on balance-sheet strategy, risk representation, and limit setting.
• Prepare and present concise, decision-oriented materials for senior management, Risk Committees, and Regulators.
• Liaise with Treasury, business stakeholders, and other risk teams to ensure accuracy and consistency of interest rate risk representation.
• Contribute to enhancing ALM risk frameworks, processes, and controls, including automation and analytical deepening.

Key Skills/Competency

• Asset Liability Management
• Risk Management
• Interest Rate Risk
• Banking Book
• SQL
• Python
• Data Analysis
• Financial Products
• Balance Sheet Strategy
• Regulatory Engagement