Associate - Equity Derivatives Pricing Model Validation

  • Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Morgan Stanley USA
  • 17 Dec 18

Associate - Equity Derivatives Pricing Model Validation

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. The Firm's employees serve clients worldwide including corporations, governments and individuals from more than 1,200 offices in 43 countries.

The talent and passion of our people is critical to our continued success as a firm. Together, we share four core values rooted in integrity, excellence and strong team ethic:
1. Putting Clients First
2. Doing the Right Thing
3. Leading with Exceptional Ideas
4. Giving Back

Morgan Stanley is committed to helping its employees build meaningful careers and we strive to be a place for people to learn, achieve and grow.

Firm Risk Management
Firm Risk Management (FRM) enables 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.

Our mission is to serve as the follow roles:

· Independent agent to set consistent principles and disciplines for risk management
· Strategic advisor to Firm management for setting risk appetite and allocating capital
· Industry leader to influence and meet regulatory standards

You will collaborate with colleagues across FRM and the Firm to protect the Firm's capital base and franchise, advise businesses and clients on risk mitigating strategies, develop tools and methodologies to analyze and monitor risk, contribute to key regulatory initiatives and report on risk exposures and metrics to enable informed and strategic decision-making. Through thoughtful analysis and clear communication we are best able to bring our ideas to the table and improve the Firm.
Firm Risk Management values diversity and is committed to providing a supportive and inclusive workplace for all employees.
Firm Risk Management's unique franchise promotes:

ü Flat, flexible and integrated global organization
ü Collaboration and teamwork
ü Credible, independent decision-making
ü Organizational influence
ü Creative and practical solutions
ü Meritocratic and diverse culture

Background on the Position
The Associate role will reside within the Firm Risk Management's Model Risk Management which plays a pivotal role in the development and maintenance of an effective model risk management framework across the firm which has received heightened focus from senior management and our regulators. Currently, the Model Validation group has an opening for a highly motivated individual to review and validate cutting edge derivatives pricing models used by both front office and capital planning. This individual will also work on model validation related to CCAR/DFAST and other regulatory compliance related models. This individual will work closely with the various groups within the firm, including but not limited to model owners in front office, risk managers, etc.
Primary Responsibilities
· Provide independent review and validation of equity derivatives pricing models. This requires extensive knowledge of stochastic calculus and risk neutral pricing theory. Broad product experience in derivatives area is important. Good understanding of various numerical techniques commonly used for pricing model implementation is also important.
· Provide independent review and validation sign off of CCAR/DFAST and other regulatory compliance related models.
· Closely work with other teams within the firm to provide regular ongoing model performance assessments. Review analysis results with senior management and provide recommendations.
· Write high-quality model review documentation that satisfies the firm's internal model approval functions, audit requirements, and the Firm's regulators (e.g., FRB, OCC, and PRA).


Skills Required
· Advanced degree (PhD or MS) in a quantitative discipline (e.g., finance, physics, math, engineering)
· Extensive knowledge of stochastic calculus and risk neutral pricing theory
· Programming skills in a high-level language such as Matlab, R or SAS
· Familiarity with SQL and VBA
· T eam player with strong interpersonal and communication skills

Skills Preferred
· PhD degree in a quantitative discipline
· Previous experience in derivatives pricing and common numerical implementation techniques (e.g., Partial Differential Equation and Monte Carlo simulation)
· Statistical skills especially in the area of regression and discriminant analysis