Model Risk - Treasury Validation: Vice President

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:

• Putting Clients First
• Doing the Right Thing
• Leading with Exceptional Ideas
• Giving Back
• 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.

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 model risks related to the implementation and use of valuation, risk, and stress testing models and tools.  This position requires strong risk management mindset, proven subject matter expertise in financial crime regulatory requirements and model validation, and excellent technical, leadership, and organizational skills.

Primary Responsibilities:

• Provide independent review of Risk Weighted Assets, Capital and Treasury (IRRBB) Models and Tools.
• Review Models for CCAR, ICAAP and other regulatory exercises.
• Perform development of Model Risk Management (MRM) independent testing framework per SR 11-7 and/or PRA SS1/23.
• Establish on-going model risk and performance monitoring, including staying up to date with applicable regulations, market trends and macro and micro themes relevant to the models.
• Write validation of technical model and tool review documents that will be presented both internally (model developers, internal audit) as well as external regulators including FRB, OCC, PRA and other regional regulators as applicable.
• Verbally communicate validation results, challenges and methodologies with internal audiences including senior management.

Required Experience:

• Minimum 5 years' in relevant risk management experience including model risk management and risks analytics required.
• Masters degree in a technical or finance-related area such as Mathematical Finance, Math/Statistics, Physics, Operational Research or related fields.
• Statistical skills especially in regression, time series & Monte Carlo simulation.
• Familiarity with essential quantitative techniques used in financial and econometric models
• Programming skills such as Python and SQL.

Desired Experience:

• Prior experience with developing or validating models in IRRBB, RWA and Capital, including Asset Liability Management is a plus.
• Prior experience working on adoption of new capital guidelines (e.g. Basel 3 EndGame or FRTB Standardized Approach) with development or validation experience is a plus.
• Familiar with regulatory requirements (e.g. CCAR) and regulators (Fed, OCC, PRA, EBA) a plus.
• Desire to work in a dynamic, team-oriented environment focusing on challenging tasks mixing fundamental, quantitative, and market-oriented knowledge and skills preferred
• Professional certifications like CFA and FRM or progression towards is desired.

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 89 years. Our values - putting clients first, doing the right thing, leading with exceptional ideas, committing to diversity and inclusion, and giving back - aren’t just beliefs, they guide the decisions we make every day to do what's best for our clients, communities and more than 80,000 employees in 1,200 offices across 42 countries. At Morgan Stanley, you’ll find an opportunity to work alongside the best and the brightest, in an environment where you are supported and empowered. Our teams are relentless collaborators and creative thinkers, fueled by their diverse backgrounds and experiences. 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. There’s also ample opportunity to move about the business for those who show passion and grit in their work.

To learn more about our offices across the globe, please copy and paste https://www.morganstanley.com/about-us/global-offices​ into your browser.

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).