Morgan Stanley Services Group, Inc. seeks a Vice President in New York, New York
Conduct in-depth independent review and validation for BAU (Business-As-Usual) models, CCAR (Comprehensive Capital Analysis and Review) models, including CVA (Credit Value Adjustment) models, SIMM (Standard Initial Margin Model), and CCAR Stress Loss models. Code in Python, R, MATLAB, and SQL to perform model independent tests, including model diagnostic tests, back-tests, stress tests, scenario analysis, benchmarking and sensitivity analysis. Identify CVA model Key Performance Indicators (KPI), develop the model risk assessment framework using the KPIs. Perform ongoing monitoring on the KPIs, explain, and document model risk management findings. Provide model review documentation and responses to regulators and internal auditors on questions of Counterparty model risks. Coordinate with the model development team, market & credit risk managers in the evaluation of model performance. Develop & deliver appropriate presentations to senior staff to explain model risk management findings and concerns. Coordinate and oversee the model validation plans that meets business targets and regulatory requirements. Qualifications:
Requires a Master's degree in Mathematics, Finance, Financial Engineering, or a related field of study and two (2) years of experience in the position offered or two (2) years as an Analyst, Associate or related occupation in the risk management field. Requires Two (2) years of experience with: CVA models including stochastic models, and Monte Carlo simulation. Requires One (1) year of experience with: Model Risk Management or related function; CCAR (Comprehensive Capital Analysis and Review) modeling/validation; SIMM and understanding of UMR (Uncleared Margin Requirement) of regulators including FRB and PRA; Python, R, MATLAB, and SQL; Model independent testing, including model diagnostic tests, back-tests, stress tests, scenario analysis, benchmarking and sensitivity analysis.
Qualified Applicants :
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