Jobs

IRB Model Risk Associate
London

3262161

 

We are searching an Model Risk Associate within Firm Risk Management'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 credit risk (IRB), counterparty credit risk (CVA/IMM), market risk (IMA), operational risk, capital and liquidity stress tests.

 

About 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.

 

As a market leader, the talent and passion of our people is critical to our success. Together, we share a common set of values rooted in integrity, excellence, and strong team ethic. We can provide a superior foundation for building a professional career – a place for people to learn, to achieve and grow. A philosophy that balances personal lifestyles, perspectives and needs is an important part of our culture.

 

What will you be doing?

·          Conduct model validation for Internal-Based Rating (IRB) models, predominantly wholesale IRB, by challenging model assumptions, mathematical formulation, and implementation

·          Conduct independent testing to assess model accuracy and robustness under different scenarios and market conditions

·          Assess and quantify model risks due to model limitations and develop compensating controls

·          Develop high-quality validation reports highlighting risks and limitations of models and communicate findings to stakeholders, senior management

·          Collaborate with Global MRM teams, Developers, Model Control Officers, Valuation Control and Risk Managers to manage model risk across the model lifecycle

·          Contribute to cultivating and managing effective relationships with regulators 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 we’re looking for:

·          Masters or Ph.D. degree (or equivalent) in Finance, Economics, Mathematics, Physics, Engineering, or a related quantitative field

·          In-depth knowledge of mathematical finance, derivative pricing, and numerical techniques

·          At least 2 years of relevant model risk management and/or quantitative modelling experience. The ideal candidate has experience with IRB models gained at a financial institution

·          Understanding and ideally working knowledge on Internal-Based Rating (IRB) models such as PD, LGD, EAD, Stress testing, IFRS9

·          Knowledge of relevant regulatory requirements for market and credit risk

 

 

 

 

Skills that will help you in the role:

·          Experience in Stress Testing and IFRS9 modelling (preferred)

·          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

 

Where will you be working?

Model Risk Management (MRM) professionals in New York, London, Budapest, Frankfurt, Mumbai and Tokyo work closely with business quantitative strategists, risk analytics, risk managers and financial controllers. The London team works collaboratively with members of Model Risk Management across all model areas globally.

 

Flexible work statement

Interested in flexible working opportunities? Morgan Stanley empowers employees to have greater freedom of choice through flexible working arrangements. Speak to our recruitment team to find out more.

 

Internal Applicants:

Internal mobility can be a way to grow your career and realize your professional potential. Typically, you must be in your position for at least 18 months and performing satisfactorily before applying for another job at the Firm. Internal applicants can find out more regarding career navigation, mobility guidelines and policy on our employee portal by clicking here.

 

Equal opportunities 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.