Model Risk Management - Associate

We are searching an Model Risk Associate within Firm Risk Management'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 (CVA/IMM), credit risk (IRB), market risk (IMA), operational risk, capital and liquidity stress tests.

About Morgan Stanley

Morgan Stanley is a leading global financial services firm providing a wide range of investment banking, securities, investment management and wealth management services.

As a market leader, the talent and passion of our people is critical to our success. Together, we share a common set of values rooted in integrity, excellence, and strong team ethic. We can provide a superior foundation for building a professional career – a place for people to learn, to achieve and grow. A philosophy that balances personal lifestyles, perspectives and needs is an important part of our culture.

What will you be doing?

• Conduct model validation for interest rate/FX/Hybrid pricing models 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 and senior management

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

• Contribute to cultivating and managing effective relationships with regulators by providing accurate and timely submissions

What we’re 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 techniques

• At least two years of relevant model risk management and/or quantitative modelling experience. The ideal candidate has experience with interest rates/FX/Hybrid derivative models gained at a financial institution

Skills that will help you in the role:

• Experience of developing pricing or risk models using Python, Scala or Excel VBA (preferred)

• 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