Model Risk, Asset Liability Management (Risk Management) : Job Level - Associate
About The Position
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 (MRM) group, which is responsible for oversight of models and tools risk across the Firm. The position focuses specifically on models used by Treasury-including Interest Rate Risk in the Banking Book (IRRBB), liquidity and funding-related models, and other Treasury analytical tools. The role is suited for individuals with strong quantitative skills, attention to detail, and an interest in financial risk management, markets, and balance sheet dynamics.
Requirements
- Master's degree in a quantitative or finance related discipline (e.g., Mathematical Finance, Statistics, Physics, Operations Research) preferred; Bachelor's degree with relevant experience considered.
- Strong statistical and quantitative skills - e.g., regression, time series, stochastic processes, Monte Carlo methods is preferred.
- Familiarity with financial risk modeling techniques and software like QRM, particularly those used in IRRBB, balance sheet management, and liquidity/treasury models.
- Programming proficiency in Python, SQL, or similar analytical tools.
- Ability to work in a collaborative, dynamic environment with a mix of technical and market oriented tasks.
Nice To Haves
- Prior experience developing or validating models related to IRRBB, Treasury, liquidity, or Asset Liability Management is a plus.
- Knowledge of regulatory expectations for model risk management (e.g., SR 11-7) is advantageous.
- Progress toward professional certifications such as CFA or FRM is beneficial.
Responsibilities
- Conduct independent review and validation of Treasury and IRRBB models and tools, including methodologies supporting Net Interest Income (NII). The responsibility will also include developing deep understanding of Economic Value of Equity (EVE), behavioral models, interest rate risk methods, prepayment/decay models, term structure methodologies, liquidity modeling tools, and other Treasury analytics.
- Review models supporting stress testing, ICAAP, and other internal/external exercises, ensuring conceptual soundness, appropriateness of assumptions, and robustness of implementation.
- Support development and execution of MRM independent testing frameworks in accordance with regulatory expectations
- Perform quantitative testing, including sensitivity analyses, benchmarking, backtesting, and performance monitoring.
- Stay current on regulatory guidance, market trends, and macro/micro themes relevant to Treasury model risks.
- Prepare clear and well structured validation reports for internal stakeholders (model developers, internal audit) and external regulators.
- Communicate validation results and methodological assessments effectively to internal audiences, including senior management.
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What This Job Offers
Job Type
Full-time
Career Level
Entry Level
Number of Employees
5,001-10,000 employees
