Vice President, Model Risk Management Validation - Market Risk Models
Morgan Stanley
Application
Details
Posted: 19-Jun-24
Location: New York, New York
Type: Full-time
Salary: Open
Internal Number: 20929954
Firm Risk Management
Firm Risk Management 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.
Background on the Position This role resides within FRM's Model Risk Management (MRM) Department which is dedicated to providing independent model risk control, review and validation of models used by Morgan Stanley. These include models used to monitor market risk (IMA), counterparty credit risk (CVA/IMM), credit risk (IRB), operational risk, capital and liquidity stress tests as well as valuation models.
MRM professionals in New York, London, Budapest, Frankfurt, Mumbai and Tokyo work closely with business quantitative strategists, risk analytics, risk managers and financial controllers. The New York team works collaboratively with members of Model Risk Management across all model areas globally.
Primary Responsibilities > Conduct model validation for market risk models (VaR/Stressed VaR/Risks not in VaR/FRTB) by challenging model assumptions, mathematical formulation, and implementation > Conduct independent testing to assess model accuracy and robustness under different scenarios and market conditions > Assess and quantify model risks due to model limitations and develop compensating controls > Develop high-quality validation reports highlighting risks and limitations of models and communicate findings to stakeholders, senior management, and governance committees > Collaborate with Global MRM teams, 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 submissions
Experience > 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 techniques > The ideal candidate has strong experience with market risk models gained at a financial institution > 5+ years of relevant working experience > Experience developing pricing and risk models using Python, R or Excel VBA is a plus > The ability to effectively communicate with a wide range of stakeholders, both written and verbally > An interest in working in a fast-paced environment, often balancing multiple high priority deliverables
Expected base pay rates for the role will be between $110,000 and $190,000 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).