Risk Management – Model Review Group
Position Description
Morgan Stanley is a global financial services firm and a market leader in investment banking, securities, investment management and wealth management services. With more than 1,200 offices in 36 countries, the people of Morgan Stanley are dedicated to providing our clients the finest thinking, products and services to help them achieve even the most challenging goals.
The Model Review Group is part of the Firm Risk Management of Morgan Stanley and it has global responsibility for the independent risk control, review and validation of the pricing and risk measurement models used by Morgan Stanley. Those models include derivatives pricing models in all product areas (i.e. interest rates, currencies, equities, commodities, credit, and structured products), as well as counterparty credit risk, wealth management, and treasury products.
Model Review professionals are located in New York, London, and Budapest, and they work closely with business quantitative strategists and other risk managers. The team in each location works closely with other members of Model Review Group on model issues across all asset classes globally, in addition to their local focus.
For the Model Review team in London, we are looking for an Executive Director level professional who will work on model issues including model review, model testing, and independent model implementation, model control, as well as reporting to EMEA CRO and regional risk managers.
Skills Required
• In-depth knowledge of mathematical finance, derivatives pricing, and numerical techniques for derivatives valuation (Monte Carlo simulation, partial differential equations, numerical analysis, probability theory, etc.)
• Extensive experience (either model development or model review with a financial institution) with interest rates pricing models, and good understanding of model risk control and measurement
• Experience with equity/credit/FX hybrids pricing models along with knowledge in structured notes modeling is preferable
• Masters or Ph.D. degree in Finance, Economics, Mathematics, Mathematical Finance, Physics, Engineering, or a related quantitative field
• Excellent verbal and written communication skills in English. Has the ability to effectively communicate work with senior management, model developers, risk managers, financial controllers, IT, internal audit and regulators
• Excellent leadership and management skills, and has the ability to effectively manage a team
• Detail-oriented, ability to think out-of-box, and provide effective challenge to models. Ability to think clearly, and has good business sense judgment
• Ability to program pricing models for derivatives is preferable (MATLAB, Python, C++)
Morgan Stanley is an equal opportunities employer. We work to provide a supportive and inclusive environment where all individuals can maximise their full potential.
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