Model Risk Management - Equity Derivatives Pricing Validation, Executive Director

Morgan Stanley • New York, NY

1d • $165,000 - $275,000

About The Position

This role will reside within Firm Risk Management’s Model Risk Management team responsible for the Firm’s management of model risks related to the implementation and use of valuation, risk, and stress testing models and tools. This position requires strong risk management mindset, proven subject matter expertise in model validation, and excellent technical, leadership, and organizational skills.

Requirements

• Masters or Ph.D. degree (or equivalent) in Finance, Economics, Mathematics, Physics, Engineering, or a related quantitative field.
• The ideal candidate should have at least 10 years of strong experience in derivatives pricing models, gained in a quantitative model 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.
• The ideal candidate should be an independent thinker able to manage through influence, facilitating and gaining consensus.
• Strong stakeholder management skills and team management experience.
• The ability to effectively and clearly communicate with a wide range of stakeholders, both in writing and verbally.
• An interest in working in a fast-paced environment, often balancing multiple high-priority deliverables.

Nice To Haves

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

Responsibilities

• Lead a team of quantitative experts to assess risks and conduct reviews of exotic equity derivatives valuation models.
• Ensure the timely delivery of thorough review work in accordance with model risk management policies and procedures, as well as regulatory guidance.
• 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 through clear and collaborative decision making to enhance model risk governance.
• Provide accurate information on both the existing model inventory and any changes to it.

What This Job Offers

• Job Type: Full-time
• Career Level: Executive
• Education Level: Ph.D. or professional degree
• Number of Employees: 5,001-10,000 employees