Model Risk Management, Model Risk Analyst/Associate, Credit Valuation Adjustment Models

Model Risk Management, Model Risk Analyst/Associate, Credit Valuation Adjustment Models

We’re seeking someone to join our team as a Model Risk Management, Model Risk Analyst/Associate, Credit Valuation Adjustment Models.

Are you interested in how mathematical models help the business? What could be the risks when we use these models in the financial industry? With this role you will gain insight into global model risk management.

The Model Risk Management group is part of the Global Firm Risk Management (FRM) department of Morgan Stanley and it has global responsibility for the independent risk control, review and validation of models used by Morgan Stanley. These include pricing models for derivatives in all asset classes, as well as models used for counterparty credit risk (CVA), market risk, credit risk, operational risk, wealth management products, and capital and liquidity stress tests. In addition to traditional methodologies MRM also reviews AI and ML models and GenAI solutions. MRM professionals in New York, London, Budapest, Frankfurt, Mumbai and Tokyo work closely with business capital, risk analytics, risk managers and financial controllers.  The Budapest team works closely with other members of the Model Risk Management group on model issues across all asset classes globally.

Since 1935, Morgan Stanley is known as a global leader in financial services, always evolving and innovating to better serve our

clients and our communities in more than 40 countries around the world.

What you'll do in the role:

• Conduct model validation for Credit Valuation Adjustment (XVA) space by challenging model assumptions, mathematical formulation and implementation

• Conduct independent testing and build benchmark models to assess model accuracy and robustness under different scenarios and market conditions, including, where appropriate the evaluation of developer documentation and testing

• Continuously challenge models with a forward looking, “what could go wrong” mindset

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

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

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

What you'll bring to the role:

• Master’s or Ph.D. degree in Mathematics, Mathematical Finance, Physics, Engineering, Finance, Economics or a related quantitative field

• 0-5 years of experience with quantitative models, preferably in financial derivative pricing models.

• Genuine and broad interest in financial markets and derivatives; internal drive to effectively challenge and improve models with a quantitative and practical mindset

• Clear thinking, good business sense and judgment, proactive and collaborative attitude

• Strong interpersonal and communication skills

• Interest or experience with programming in a high-level language such as Python is a plus

We offer:

• A competitive compensation and benefits package including eligibility for an annual bonus

• Flexible working arrangements (core hours and opportunity to work from home)

• Enriching challenges that provide opportunity for constant learning and advancement

• Professional development opportunities including access to Morgan Stanley’s world-class internal trainings

• A supportive and vibrant multinational environment, we accept individual differences and believe in teamwork 

#LI-HYBRID #LI-JL1 #BPMM

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.

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.