Model Risk Management, Vice President Interest Rates Pricing Model Validation
Model Risk Management, Vice President Interest Rates Pricing Model Validation
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Job Description
Model Risk Management Vice President in Interest Rates Pricing Model Validation
Morgan Stanleys Model Risk Management is seeking an experienced professional to join the Interest Rates derivative pricing model validation team in the Budapest office.
In the Firm Risk Management division we advise businesses across the Firm on risk mitigation strategies develop tools to analyze and monitor risks and lead key regulatory initiatives. 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 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 youll do in the role:
Perform model validation on complex and state-of-the-art pricing models used by the Rates Trading Business for daily valuation and risk management of trading positions
Manage the Budapest Interest Rates Pricing Model Validation team
Ensure that documentation of the models is adequate and model testing is sufficient.
Assess if the models are conceptually sound fit for purpose assumptions and limitations are identified and adequately controlled.
Perform independent testing and ensure adequate model performance monitoring.
Identify model risk issues and escalate to management.
Work closely with model developers market risk managers and valuation controllers to understand not only the models but also the business context in which they need to perform well.
Summarize written assessment in model validation report.
Conduct on-demand analyses of model performance.
Work as part of a global team with colleagues based in the London and New York offices.
What youll bring to the role:
MSc or PhD in a STEM area or Finance strong quantitative background stochastic calculus knowledge
5 years of experience with derivative pricing model validation or development; experience in Interest Rates asset class is preferred.
Team lead or people management experience is preferred.
Genuine and broad interest in financial markets; 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
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 Stanleys world-class internal trainings.
A supportive and vibrant multinational environment we accept individual differences and believe in teamwork.
#LI-JL1 #LI-hybrid #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 - arent just beliefs they guide the decisions we make every day to do whats best for our clients communities and more than 80000 employees in 1200 offices across 42 countries. At Morgan Stanley youll 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. Theres also ample opportunity to move about the business for those who show passion and grit in their work.
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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.
Required Experience:
Chief
Employment Type
Full-Time
