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. The London team works collaboratively with members of Model Risk Management across all model areas globally.
What you’ll do : Conduct Model Validation activities for the IMA (VaR/SVaR/RNIV) 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. FRM is committed to creating and providing opportunities that enable our workforce to reflect diverse backgrounds and views. What you’ll bring to the role: Masters or Ph.D. degree (or equivalent) in Finance, Mathematics, Physics, or a related quantitative field. In-depth knowledge of mathematical finance, market risk modelling, and numerical techniques. The ideal candidate has at least two years experience with market risk modelling/model risk management gained at a financial institution. 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. 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.
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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. The London team works collaboratively with members of Model Risk Management across all model areas globally.
What you’ll do : Conduct Model Validation activities for the IMA (VaR/SVaR/RNIV) 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. FRM is committed to creating and providing opportunities that enable our workforce to reflect diverse backgrounds and views. What you’ll bring to the role: Masters or Ph.D. degree (or equivalent) in Finance, Mathematics, Physics, or a related quantitative field. In-depth knowledge of mathematical finance, market risk modelling, and numerical techniques. The ideal candidate has at least two years experience with market risk modelling/model risk management gained at a financial institution. 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. 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.
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