Vice President - Quantitative Analytics Group (Model Risk Audit)

Morgan Stanley • New York, NY

11d • $135,000 - $202,500

About The Position

- Formulate and lead a wide range of assurance activities to assess model risks within coverage area and the state of controls in place to mitigate them - Audit the model development and validation processes (e.g., review of conceptual soundness, diagnostic testing, implementation and ongoing monitoring) of valuation, risk, capital and liquidity models used for management of Asset Liability Management and Interest Rate Risk in the Banking Book - Review and challenge work performed by issue owners to remediate internal and external issues related to model risk - Proactively identify risk and emerging risk, and factor into model risk assessment and assurance coverage - Articulate actionable insights to model developers and Model Risk Management regarding criticality and impact of model risks to the business in order to provide sound oversight and guidance on appropriate model usage and limitations - Document all work performed in a concise and repeatable manner - Effectively partner with colleagues and stakeholders globally to drive effective working relationships - Align projects and initiatives with department and coverage area priorities, and oversee team's execution of deliverables in accordance with audit methodology and quality standards - Advanced knowledge of Anti-Money Laundering, and Asset Liability Management (ALM) and Interest Rate Risk in the Banking Book (IRRBB) - Experience in model development and validation and/or audit across ALM and IRRBB models - Strong knowledge of regulatory expectations, model risk governance, and financial risk management practices - Strong understanding of audit principles, methodology, tools and processes (e.g., risk assessments, planning, testing, reporting and continuous monitoring) - Ability to articulate risk and impact clearly and succinctly to different audiences - Effective change and project management techniques and ability to support teams in adapting new ways of working - Ability to leverage and analyze data to inform focus and views on risk - Ability to coach and mentor others and create an inclusive work environment for team - Masters or PhD in Mathematics, Financial Engineering, Quantitative Finance or hard sciences (e.g., Physics) - Excellent written and verbal communication skills and strong analytical and problem-solving skills - Strong interpersonal skills to interact effectively with internal and external stakeholders - At least 6 years' relevant experience would generally be expected to find the skills required for this role - Relevant certifications (e.g., CIA, FRM, CRMA, etc.) preferred We do it in a way that's differentiated - and we've done that for 90 years. Our values - putting clients first, doing the right thing, leading with exceptional ideas, committing to diversity and inclusion, and giving back - aren't just beliefs, they guide the decisions we make every day to do what's best for our clients, communities and more than 80,000 employees in 1,200 offices across 42 countries. Our teams are relentless collaborators and creative thinkers, fueled by their diverse backgrounds and experiences. We are proud to support our employees and their families at every point along their work-life journey, offering some of the most attractive and comprehensive employee benefits and perks in the industry. There's also ample opportunity to move about the business for those who show passion and grit in their work. To learn more about our offices across the globe, please copy and paste https://www.morganstanley.com/about-us/global-offices​ into your browser. Expected base pay rates for the role will be between $135,000 and $202,500 per year at the commencement of employment. Consequently, our recruiting efforts reflect our desire to attract and retain the best and brightest from all talent pools. We want to be the first choice for prospective employees. It is the policy of the Firm to ensure equal employment opportunity without discrimination or harassment on the basis of race, color, religion, creed, age, sex, sex stereotype, gender, gender identity or expression, transgender, sexual orientation, national origin, citizenship, disability, marital and civil partnership/union status, pregnancy, veteran or military service status, genetic information, or any other characteristic protected by law.

Requirements

• Advanced knowledge of Anti-Money Laundering, and Asset Liability Management (ALM) and Interest Rate Risk in the Banking Book (IRRBB)
• Experience in model development and validation and/or audit across ALM and IRRBB models
• Strong knowledge of regulatory expectations, model risk governance, and financial risk management practices
• Strong understanding of audit principles, methodology, tools and processes (e.g., risk assessments, planning, testing, reporting and continuous monitoring)
• Ability to articulate risk and impact clearly and succinctly to different audiences
• Effective change and project management techniques and ability to support teams in adapting new ways of working
• Ability to leverage and analyze data to inform focus and views on risk
• Ability to coach and mentor others and create an inclusive work environment for team
• Masters or PhD in Mathematics, Financial Engineering, Quantitative Finance or hard sciences (e.g., Physics)
• Excellent written and verbal communication skills and strong analytical and problem-solving skills
• Strong interpersonal skills to interact effectively with internal and external stakeholders
• At least 6 years' relevant experience would generally be expected to find the skills required for this role

Nice To Haves

• Relevant certifications (e.g., CIA, FRM, CRMA, etc.) preferred

Responsibilities

• Formulate and lead a wide range of assurance activities to assess model risks within coverage area and the state of controls in place to mitigate them
• Audit the model development and validation processes (e.g., review of conceptual soundness, diagnostic testing, implementation and ongoing monitoring) of valuation, risk, capital and liquidity models used for management of Asset Liability Management and Interest Rate Risk in the Banking Book
• Review and challenge work performed by issue owners to remediate internal and external issues related to model risk
• Proactively identify risk and emerging risk, and factor into model risk assessment and assurance coverage
• Articulate actionable insights to model developers and Model Risk Management regarding criticality and impact of model risks to the business in order to provide sound oversight and guidance on appropriate model usage and limitations
• Document all work performed in a concise and repeatable manner
• Effectively partner with colleagues and stakeholders globally to drive effective working relationships
• Align projects and initiatives with department and coverage area priorities, and oversee team's execution of deliverables in accordance with audit methodology and quality standards

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Education Level: Ph.D. or professional degree