What you'll do in the role:Morgan Stanley Services Group Inc. is seeking a Vice President, Risk / Policy Management in New York, NY to perform the following duties: Reviewing, effectively challenging model assumptions, mathematical formulation, implementation of supervisory rules and if necessary, independently testing Internal Liquidity Stress Testing (ILST) and Net Interest Income Sensitivity models covering the Firm's activities in US, Europe and Asia. Proactively communicating with the global and regional treasury and liquidity risk teams on ongoing validations and any model issues that may come up. Answer regulatory and internal audit requests related to MRM activities on ILST and Net interest Income, attending regulatory meetings. Develop and review existing monitoring and quantify model risks due to model limitations and thematic risks including developing compensating controls. Develop high-quality validation reports highlighting risks and limitations of models and communicate findings to stakeholders, senior management, and governance Committees. Collaborate with Global MRM teams, Model Control Officers, Regulatory Capital Controllers, Finance and Risk Managers to manage model risk across the model lifecycle. Telecommuting permitted up to 2 days per week.
What you'll bring to the role:-Requires a Master's degree in Financial Engineering, Mathematics, or related field of study.
-Requires two (2) years of experience in Model/Anlys/Valid Senior Manager, Quantitative Risk Modeler, Senior Vice President, Financial Quantitative Analyst, Analyst, or a related occupation.
-Requires 2 years of experience with each of the following skills:
- model development or validation in treasury or liquidity risk management functions with sound understanding of model lifecycle and validation report;
- the banking regulatory environment, including with Bank of International Settlements (BIS) PRINCIPLES IN Basel III, BCBS 239, FRTB;
- quantitative programming skills including Python, R, and advanced excel knowledge;
- data visualization and data analytics;
- model development or validation on capital planning requirements and practices from FRB including CCAR, DFAST, OCC, ECB, and PRA;
- core banking, investment and trading products;
- banking regulations: FRB SR 11-07, SR 12-17, SR 14-08, SR 15-18, PRA SS1/23, EBA CRD/CRR, ECB Guide to ICAAP;
- data lineage and database schema;
working with large datasets, data warehouse.
Expected base pay rates for the role will be between $180,000 and $250,000 per year at the commencement of employment. However, base pay if hired will be determined on an individualized basis and is only part of the total compensation package, which, depending on the position, may also include commission earnings, incentive compensation, discretionary bonuses, other short and long-term incentive packages, and other Morgan Stanley sponsored benefit programs.
Telecommuting permitted up to 2 days per week.
