Model Risk Risk Management
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Model Risk (Risk Management) (ID: 3254577)
We're seeking someone to join our team as a Model Risk Asssociate to work within Firm Risk Management's Model Risk Management Department.
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 .
Model Risk Management (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 London team works collaboratively with members of Model Risk Management across all model areas globally.
This role resides 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 credit risk (IRB), counterparty credit risk (CVA/IMM), market risk (IMA), operational risk, capital and liquidity stress tests.
Morgan Stanley is an industry leader in financial services, known for mobilizing capital to help governments, corporations, institutions, and individuals around the world achieve their financial goals.
What you'll do in the role:
• Conduct model validation for Incremental Risk Charge (IRC) and Internal-Based Rating (IRB) 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, senior management
• Collaborate with Global MRM teams, Developers, Model Control Officers, Valuation Control and Risk Managers to manage model risk across the model lifecycle
• Cultivate and manage effective relationships with regulators by providing accurate and timely submissions
What you'll bring to the role:
• 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 IRB and IRC models gained at a financial institution
• Understanding and ideally working knowledge on Internal-Based Rating (IRB) models such as PD, LGD, EAD
• Knowledge of relevant regulatory requirements for market and credit risk
• Experience in Stress Testing and IFRS9 modelling (preferred)
• Experience in developing pricing or risk models using Python, R, or Excel VBA
• 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
What you can expect from Morgan Stanley:
We are committed to maintaining the first-class service and high standard of excellence that have defined Morgan Stanley for over 85 years. At our foundation are five core values - putting clients first, doing the right thing, leading with exceptional ideas, committing to diversity and inclusion, and giving back - that guide our more than 80,000 employees in 1,200 offices across 42 countries. At Morgan Stanley, you'll find trusted colleagues, committed mentors and a culture that values diverse perspectives, individual intellect, and cross-collaboration. Our Firm is differentiated by the caliber of our diverse team, while our company culture and commitment to inclusion define our legacy and shape our future, helping to strengthen our business and bring value to clients around the world. Learn more about how we put this commitment to action: diversity. We are proud to support our employees and their families at every point along their work-life journey, offering some of the most attractive and comprehensive emplo yee benefits and perks in the industry.
Flexible work statement:
Morgan Stanley is an equal opportunities employer. We work to provide a supportive and inclusive environment where all individuals can maximize their full potential. Our skilled and creative workforce is comprised of individuals drawn from a broad cross section of the global communities in which we operate and who reflect a variety of backgrounds, talents, perspectives, and experiences. Our strong commitment to a culture of inclusion is evident through our constant focus on recruiting, developing, and advancing individuals based on their skills and talents.
We're seeking someone to join our team as a Model Risk Asssociate to work within Firm Risk Management's Model Risk Management Department.
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 .
Model Risk Management (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 London team works collaboratively with members of Model Risk Management across all model areas globally.
This role resides 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 credit risk (IRB), counterparty credit risk (CVA/IMM), market risk (IMA), operational risk, capital and liquidity stress tests.
Morgan Stanley is an industry leader in financial services, known for mobilizing capital to help governments, corporations, institutions, and individuals around the world achieve their financial goals.
What you'll do in the role:
• Conduct model validation for Incremental Risk Charge (IRC) and Internal-Based Rating (IRB) 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, senior management
• Collaborate with Global MRM teams, Developers, Model Control Officers, Valuation Control and Risk Managers to manage model risk across the model lifecycle
• Cultivate and manage effective relationships with regulators by providing accurate and timely submissions
What you'll bring to the role:
• 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 IRB and IRC models gained at a financial institution
• Understanding and ideally working knowledge on Internal-Based Rating (IRB) models such as PD, LGD, EAD
• Knowledge of relevant regulatory requirements for market and credit risk
• Experience in Stress Testing and IFRS9 modelling (preferred)
• Experience in developing pricing or risk models using Python, R, or Excel VBA
• 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
What you can expect from Morgan Stanley:
We are committed to maintaining the first-class service and high standard of excellence that have defined Morgan Stanley for over 85 years. At our foundation are five core values - putting clients first, doing the right thing, leading with exceptional ideas, committing to diversity and inclusion, and giving back - that guide our more than 80,000 employees in 1,200 offices across 42 countries. At Morgan Stanley, you'll find trusted colleagues, committed mentors and a culture that values diverse perspectives, individual intellect, and cross-collaboration. Our Firm is differentiated by the caliber of our diverse team, while our company culture and commitment to inclusion define our legacy and shape our future, helping to strengthen our business and bring value to clients around the world. Learn more about how we put this commitment to action: diversity. We are proud to support our employees and their families at every point along their work-life journey, offering some of the most attractive and comprehensive emplo yee benefits and perks in the industry.
Flexible work statement:
Morgan Stanley is an equal opportunities employer. We work to provide a supportive and inclusive environment where all individuals can maximize their full potential. Our skilled and creative workforce is comprised of individuals drawn from a broad cross section of the global communities in which we operate and who reflect a variety of backgrounds, talents, perspectives, and experiences. Our strong commitment to a culture of inclusion is evident through our constant focus on recruiting, developing, and advancing individuals based on their skills and talents.
Reference: 53399140
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