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Model Validation Vice President
Morgan Stanley
New York, NY, United States
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Company Profile
Morgan Stanley is a leading global financial services firm providing a wide range of investment banking, securities, investment management and wealth management services. The Firm's employees serve clients worldwide including corporations, governments and individuals from more than 1,200 offices in 43 countries.
As a market leader, the talent and passion of our people is critical to our success. Together, we share a common set of values rooted in integrity, excellence and strong team ethic. Morgan Stanley can provide a superior foundation for building a professional career - a place for people to learn, to achieve and grow. A philosophy that balances personal lifestyles, perspectives and needs is an important part of our culture.
Department Profile
The cornerstone of Morgan Stanley’s risk management philosophy is the execution of risk-adjusted returns through prudent risk-taking that protects Morgan Stanley’s capital base and franchise. Risk Management protects the firm from exposure to losses resulting from defaults by our lending and trading counterparties.
Primary Responsibilities
-Provide independent review and validation of equity derivatives pricing models. This requires extensive knowledge of stochastic calculus and risk neutral pricing theory. Broad product experience in derivatives area is important. Good understanding of various numerical techniques commonly used for pricing model implementation is also important.
-Provide independent review and validation sign off of CCAR/DFAST and other regulatory compliance related models.
-Closely work with other teams within the firm to provide regular ongoing model performance assessments. Review analysis results with senior management and provide recommendations.
-Write high-quality model review documentation that satisfies the firm’s internal model approval functions, audit requirements, and the Firm’s regulators (e.g., FRB, OCC, and PRA).
Qualifications
Skills required (essential)
-Advanced degree (PhD or MS) in a quantitative discipline (e.g., finance, physics, math, engineering)
-Extensive knowledge of stochastic calculus and risk neutral pricing theory
-Programming skills in a high-level language such as Matlab, R or SAS
-Familiarity with SQL and VBA
-Team player with strong interpersonal and communication skills
Skills desired
-PhD degree in a quantitative discipline
-Previous experience in derivatives pricing and common numerical implementation techniques (e.g., Partial Differential Equation and Monte Carlo simulation)
-Statistical skills especially in the area of regression and discriminant analysis