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VP, Model Risk - XVA Models (Risk Management)

AT Morgan Stanley
Morgan Stanley

VP, Model Risk - XVA Models (Risk Management)

New York, NY

-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 -Masters or Ph.D. degree (or equivalent) in Finance, Economics, Mathematics, Physics, Engineering, or a related quantitative field

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-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

Client-provided location(s): New York, NY, USA
Job ID: Morgan-549779829094
Employment Type: Other

Perks and Benefits

  • Health and Wellness

    • Health Insurance
    • Dental Insurance
    • Vision Insurance
    • Life Insurance
    • Short-Term Disability
    • Long-Term Disability
    • Fitness Subsidies
    • On-Site Gym
    • Pet Insurance
    • Mental Health Benefits
    • FSA
    • Virtual Fitness Classes
    • HSA
  • Parental Benefits

    • Fertility Benefits
    • Adoption Assistance Program
    • Family Support Resources
    • Return-to-Work Program
    • Birth Parent or Maternity Leave
    • Non-Birth Parent or Paternity Leave
    • Adoption Leave
  • Work Flexibility

    • Hybrid Work Opportunities
  • Office Life and Perks

    • Commuter Benefits Program
    • Company Outings
    • On-Site Cafeteria
    • Holiday Events
  • Vacation and Time Off

    • Paid Vacation
    • Paid Holidays
    • Leave of Absence
    • Volunteer Time Off
    • Personal/Sick Days
  • Financial and Retirement

    • 401(K) With Company Matching
    • Stock Purchase Program
    • Performance Bonus
    • Relocation Assistance
    • Financial Counseling
  • Professional Development

    • Tuition Reimbursement
    • Promote From Within
    • Mentor Program
    • Access to Online Courses
    • Lunch and Learns
    • Work Visa Sponsorship
    • Leadership Training Program
    • Associate or Rotational Training Program
    • Internship Program
  • Diversity and Inclusion

    • Diversity, Equity, and Inclusion Program
    • Employee Resource Groups (ERG)