Vice President - Model Risk (Market Risk Models)
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 five 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
5. Committing to Diversity and Inclusion
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:
• Flat, flexible and integrated global organization
• Collaboration and teamwork
• Credible, independent decision-making
• Organizational influence
• Creative and practical solutions
• Meritocratic and diverse culture
Background on the Position:
This role will reside within Firm Risk Management's Model Risk Management team responsible for the Firm's management of risks related to the implementation and use of models, covering all aspects of the Firm's businesses and implementing key regulatory requirements. This position requires strong technical, leadership, and organizational skills. Primary Responsibilities
• Provide independent review and validation compliant with Model Risk Management policies and procedures, regulatory guidance and industry leading practices, including evaluating conceptual soundness, quality of modeling methodology, model limitations, data quality, and on-going monitoring for market risk models
•Lead projects covering VaR, Stressed VaR, IRC, CCAR and other regulatory exercises including managing global team within Model Risk Management supporting market risk to meet deliverables
• Communicate model validation conclusions to relevant stakeholders and evaluate model remediation actions
• Write comprehensive validation documentation for models validated
• Represent Model Risk Management Market Risk team in interactions with regulatory agencies as required Qualifications: Skills Required
• Masters or Doctorate degree in a technical area such as Financial Engineering, Computational Finance, Mathematical Finance, Math/Statistics, Computer Science, Physics or related fields.
• Familiarity with essential quantitative techniques used in financial models. Examples would include pricing models for asset classes such as credit and mortgages, and value-at-risk models for use in market risk functions.
• Quantitative programming skills (e.g. Python, R, etc).
• Strong written and verbal communication skills. Must be comfortable leading meetings and making formal presentations.
• Good written and verbal communication skills. Skills Desired
• Previous experience in risk management or other market-facing finance roles a plus.
• Desire to work in a dynamic, team-oriented environment focusing on challenging tasks mixing fundamental, quantitative and market-oriented knowledge and skills.
• AI and machine learning skills.