Model Risk Management (IRB)

Model Risk Management (IRB), Vice President
London
JR025999

This role resides within Firm Risk Management's Model Risk Management Department which provides 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 counterparty credit risk (CVA/IMM), credit risk (IRB), market risk (IMA), operational risk, capital and liquidity stress tests.

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.

Firm Risk Management (FRM) supports 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.

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-Risk-Based (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, Credit and Capital Teams and Risk Managers to manage model risk across the model lifecycle
•    Cultivate and manage effective relationships with regulators by providing accurate and timely submissions
•    Manage a team of reviewers and/or IRB-specific projects

What we’re looking for:
•    Master's or Ph.D. degree (or equivalent) in Finance, Economics, Mathematics, Physics, Engineering, or a related quantitative field
•    In-depth knowledge of mathematical finance or Statistics and numerical techniques
•    Minimum of 5 years of relevant model risk management and/or quantitative modelling experience
•    Experience with IRB models wholesale, retail and securitization gained at a financial institution (preferred)
•    Understanding and ideally working knowledge on Internal-Based Rating (IRB) models such as PD, LGD, EAD, Stress testing, IFRS9
•    Experience of developing risk models using Python and R

Skills that will help you in the role:
•    An interest in working in a fast-paced environment, often balancing multiple high priority deliverables
•    The ability to communicate effectively with a wide range of stakeholders, both written and verbally

Where will you be working?
This role is based in 20 Bank Street, London.

WHAT YOU CAN EXPECT FROM MORGAN STANLEY:

At Morgan Stanley, we raise, manage and allocate capital for our clients – helping them reach their goals. We do it in a way that’s differentiated – and we’ve done that for 90 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.

Certified Persons Regulatory Requirements:
If this role is deemed a Certified role and may require the role holder to hold mandatory regulatory qualifications or the minimum qualifications to meet internal company benchmarks.

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.

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.