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Division: Firm Risk Management
Role: Model Risk Management (Interest Rates Derivatives)
Level: Associate
Location: London


Firm Risk Management
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.

Background on the Position
This role resides 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 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.

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.

Primary Responsibilities

• Conduct model validation for interest rate pricing models 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
• Cultivate and manage 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.

Experience

• 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
• Experience of relevant model risk management and/or quantitative modelling experience. The ideal candidate has experience with interest rates derivative models gained at a financial institution
• Experience of developing pricing or risk models using Python, Scala or Excel VBA (preferred)
• 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

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.

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.