Vice President, Model Risk Management

  • Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Morgan Stanley USA
  • 20 Apr 19

Vice President, Model Risk Management

Morgan Stanley Services Group Inc. seeks a Vice President, Model Risk Management in New York, New York

Focus market risk and operational risk models, on business as usual and stress testing models, CCAR, Recovery/Resolution Planning, and Credit Risk. Provide on-going monitoring of model risk relative to changing market and credit conditions. Follow financial markets and business trends on a frequent basis. Write model risk management findings in technical documents that will be presented both internally (model developers, business unit managers) as well as to regulators including FRB and OCC. Verbally communicate results and debate issues, challenges and methodologies with internal audiences, including senior management, and present results to regulators.


Requirements :

Requires a Master's degree in Mathematical Finance, Finance, Business Administration, Statistics, or a related field of study and four (4) years of experience in the position offered or four (4) years of experience as a Quantitative Analyst, Corporate Credit Risk Analytics Project Manager, or a related occupation. Requires four (4) years of experience with: stochastic and econometric modeling including panel data regression, logistic regression, and time series modeling; model independent testing including model diagnostic tests, back-tests, stress tests, scenario analysis, benchmarking and sensitivity analysis; CCAR (Comprehensive Capital Analysis and Review) /DFAST (Dodd-Frank Act Stress Test) modeling or validation; and machine learning. Requires two (2) years of experience with: PPNR models including Non-Interest income/expense and balance models, Operational Risk models (Loss Distribution Approach and Regression Based approach); Monte Carlo simulation; SAS; and credit risk models including PD (Probability of Default) models, LGD (Loss given Default) models, and stress loss models. Requires any amount of experience with: working on market risk models and GMS (Global Market Shock) scenario models; MATLAB; prepayment models; Counterparty default losses and CVA (Credit Valuation Adjustment) models; R; and Python.

Qualified Applicants :
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