Vice President, Risk / Policy Management

Morgan Stanley•New York, NY

1d•Hybrid

About The Position

Morgan Stanley Services Group Inc. is seeking a Vice President, Risk / Policy Management in New York, NY. In this role, you will perform duties such as reviewing and challenging model assumptions, mathematical formulation, and implementation of supervisory rules. You will also independently test Internal Liquidity Stress Testing (ILST) and Net Interest Income Sensitivity models covering the Firm’s activities in the US, Europe, and Asia. Proactive communication with global and regional treasury and liquidity risk teams regarding ongoing validations and model issues is essential. You will also respond to regulatory and internal audit requests related to MRM activities on ILST and Net Interest Income, and attend regulatory meetings. Developing and reviewing monitoring processes, quantifying model risks due to limitations and thematic risks, and creating compensating controls are key responsibilities. Additionally, you will develop high-quality validation reports detailing model risks and limitations, and communicate findings to stakeholders, senior management, and governance Committees. Collaboration with Global MRM teams, Model Control Officers, Regulatory Capital Controllers, Finance, and Risk Managers to manage model risk across the model lifecycle is expected. Telecommuting is permitted up to 2 days per week.

Requirements

Master’s degree in Financial Engineering, Mathematics, or related field of study.
Two (2) years of experience in Model/Anlys/Valid Senior Manager, Quantitative Risk Modeler, Senior Vice President, Financial Quantitative Analyst, Analyst, or a related occupation.
2 years of experience with model development or validation in treasury or liquidity risk management functions with sound understanding of model lifecycle and validation report.
2 years of experience with the banking regulatory environment, including with Bank of International Settlements (BIS) PRINCIPLES IN Basel III, BCBS 239, FRTB.
2 years of experience with quantitative programming skills including Python, R, and advanced excel knowledge.
2 years of experience with data visualization and data analytics.
2 years of experience with model development or validation on capital planning requirements and practices from FRB including CCAR, DFAST, OCC, ECB, and PRA.
2 years of experience with core banking, investment and trading products.
2 years of experience with banking regulations: FRB SR 11-07, SR 12-17, SR 14-08, SR 15-18, PRA SS1/23, EBA CRD/CRR, ECB Guide to ICAAP.
2 years of experience with data lineage and database schema.
2 years of experience working with large datasets, data warehouse.

Responsibilities

Reviewing, effectively challenging model assumptions, mathematical formulation, implementation of supervisory rules and if necessary, independently testing Internal Liquidity Stress Testing (ILST) and Net Interest Income Sensitivity models covering the Firm’s activities in US, Europe and Asia.
Proactively communicating with the global and regional treasury and liquidity risk teams on ongoing validations and any model issues that may come up.
Answering regulatory and internal audit requests related to MRM activities on ILST and Net interest Income, attending regulatory meetings.
Developing and reviewing existing monitoring and quantify model risks due to model limitations and thematic risks including developing compensating controls.
Developing high-quality validation reports highlighting risks and limitations of models and communicate findings to stakeholders, senior management, and governance Committees.
Collaborating with Global MRM teams, Model Control Officers, Regulatory Capital Controllers, Finance and Risk Managers to manage model risk across the model lifecycle.