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E*TRADE from Morgan Stanley · 4 months ago

Model Risk Management - Equity Derivatives Pricing Validation, Executive Director

New York, New York, United States of America

Full-time

Onsite

Senior Level, Lead/Staff

$165K/yr - $275K/yr

10+ years exp

Morgan Stanley is a leading global financial services firm providing a wide range of investment banking, securities, investment management and wealth management services. The role involves managing model risks related to equity derivatives pricing validation, leading a team of quantitative reviewers, and ensuring compliance with regulatory requirements.

BankingFinanceFinancial Services

Responsibilities

Lead a team of quantitative model reviewers to conduct initial and periodic reviews of exotic equity derivatives valuation models. Ensure the timely delivery of thorough review work in accordance with regulatory requirements and model risk management policies and procedures

Identify, measure, communicate and decide on significant model risk issues in the coverage area. This includes model usage in the firm's books & records, risk management, downstream capital model inputs, P&L attribution, and stress loss calculations

Partner with model owners and developers to better understand and address model limitations

Review and identify any model usage gaps on new products, new business initiatives and new material exposures

Drive changes together with risk managers through clear and collaborative decision making to enhance model risk governance

Provide accurate information in compliance with regulatory requirements on both the existing model inventory and any changes to it

Qualification

Derivatives pricing modelsModel validationQuantitative analysisStakeholder managementTeam managementCommunication skillsLeadership skillsOrganizational skills

Required

Masters or Ph.D. degree (or equivalent) in Finance, Economics, Mathematics, Physics, Engineering, or a related quantitative field

At least 10 years of strong experience in derivatives pricing models, gained in a quantitative development or validation role at a financial institution (and preferably, in an equity derivatives business)

Experience in advancing ideas and challenging complex mathematical models, where appropriate

Ability to manage through influence, facilitating and gaining consensus

Strong stakeholder management skills and team management experience

Experience managing quant teams and stakeholders in a global setting is a plus

Ability to effectively communicate with a wide range of stakeholders, both in writing and verbally

Interest in working in a fast-paced environment, often balancing multiple high priority deliverables