VP, Model Risk (Risk Management)

Company: Morgan Stanley
Location: New York
Posted on: March 6, 2025

Job Description:

Firm Risk ManagementFirm 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 PositionThis 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) and counterparty credit risk (XVA/IMM) 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

• Contribution to validation activities for Swap Dealer entities, including oversight of ongoing monitoring performance reviews and regulatory submissions.
• Conduct Model Validation activities for the IMA (VaR/SVaR/RNIV) and Initial Margin 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 and quantify model risks due to model limitations and compensating controls.
• Develop and apply high-quality validation standards by conducting independent testing to assess model accuracy and robustness under different market conditions.
• Collaborate with Global MRM teams, Global Risk Analytics teams, Model Control Officers and Risk Managers to manage model risk across the model lifecycle.
• Participate in developing effective relationships with the internal/external auditors 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 valuation models gained at a financial institution.
• Relevant working experience of 5+ years.
• Experience developing pricing and risk models using Python, R or C++ 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.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. 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 employee benefits and perks in the industry.We're committed to bringing passion and customer focus to the business.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).
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Keywords: Morgan Stanley, New York , VP, Model Risk (Risk Management), Executive , New York, New York