What are the responsibilities and job description for the VP, Model Risk - XVA Models (Risk Management) position at Morgan Stanley?
Responsibilities:
- Conduct model validation for XVA models by challenging model assumptions, mathematical formulation, and implementation
- Conduct independent testing to assess model accuracy and robustness under different scenarios and market conditions
- Assess and quantify model risks due to model limitations and develop compensating controls
- Highlight risks and limitations of models and communicate findings to stakeholders, senior management, and governance committees
- Collaborate with Global MRM teams, Model Control Officers, Valuation Control and Risk Managers to manage model risk across the model lifecycle
- Assist in cultivating and managing effective relationships with regulators by providing accurate and timely submissions
Qualifications:
- Masters or Ph.D. degree (or equivalent) in Finance, Economics, Mathematics, Physics, Engineering, or a related quantitative field
- In-depth knowledge of mathematical finance, derivative pricing, and numerical techniques
- Relevant working experience of 5 years
- The ideal candidate has strong experience with valuation models gained at a financial institution
- Experience developing pricing and risk models using Python, R or C (preferred)
- The ability to effectively communicate with a wide range of stakeholders, both written and verbally
- The ability to work independently in a self-directed way in a collaborative, team-oriented environment
- An interest in working in a fast-paced environment, often balancing multiple high priority deliverables
Salary : $120,000 - $200,000
