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VP, Model Risk (Risk Management)

companyMorgan Stanley
locationNew York, USA
PublishedPublished: Published 1 month ago
Risk Modelling
Firm Risk Management (FRM) supports 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.

This role resides within FRM's Model Risk Management Department which is dedicated to providing independent model risk control, review and validation of models used by Morgan Stanley. These include derivative pricing models utilized across product areas including interest rates, currencies, commodities, equities, credit, and securitized products. This is in addition to oversight of models used to monitor counterparty credit risk (XVA/IMM), credit risk (IRB), market risk (IMA), operational risk, capital and liquidity stress tests.

Model Risk Management (MRM) professionals in New York, London, Budapest, Frankfurt, Mumbai and Tokyo work closely with business quantitative strategists, risk analytics and risk managers.

What will you be doing?

- Conduct model validation for XVA models by challenging model assumptions, mathematical formulation, and implementation

-Conduct independent testing to assess model accuracy and robustness under different scenarios and market conditions, including, where appropriate the evaluation of developer documentation and testing

-Assess, quantify and communicate to stakeholders model risks due to model limitations and compensating control

-Highlight risks and limitations of models and communicate findings to stakeholders, senior management, and governance committee

-Collaborate with Global MRM teams, XVA Strategists, Model Control Officers, Valuation Control and Risk Managers to manage model risk across the model lifecycle

-Assist in cultivating and managing effective relationships with regulators by providing accurate and timely submission

Qualifications:

What we are looking for?

-Masters or Ph.D. degree (or equivalent) in Finance, Economics, Mathematics, Physics, Engineering, or a related quantitative field

-In-depth knowledge of mathematical finance, derivative pricing, and numerical technique

-Relevant working experience of 5+ year

-The ideal candidate has strong experience with valuation models gained at a financial institution

-Experience developing pricing and risk models using Python

-The ability to effectively communicate with a wide range of stakeholders, both written and verbally

-The ability to work independently in a self-directed way in a collaborative, team-oriented environment

-An interest in working in a fast-paced environment, often balancing multiple high priority deliverable

Expected base pay rates for the role will be between $120,000 and $200,000 year at the commencement of employment. However, base pay if hired will be determined on an individualized basis and is only part of the total compensation package, which, depending on the position, may also include commission earnings, incentive compensation, discretionary bonuses, other short and long-term incentive packages, and other Morgan Stanley sponsored benefit programs.

Morgan Stanley's goal is to build and maintain a workforce that is diverse in experience and background but uniform in reflecting our standards of integrity and excellence. Consequently, our recruiting efforts reflect our desire to attract and retain the best and brightest from all talent pools. We want to be the first choice for prospective employees.

It is the policy of the Firm to ensure equal employment opportunity without discrimination or harassment on the basis of race, color, religion, creed, age, sex, sex stereotype, gender, gender identity or expression, transgender, sexual orientation, national origin, citizenship, disability, marital and civil partnership/union status, pregnancy, veteran or military service status, genetic information, or any other characteristic protected by law.

Morgan Stanley is an equal opportunity employer committed to diversifying its workforce (M/F/Disability/Vet).