Model Risk (Rates) (Risk Management) : Job Level - Vice President
Core
Independent validation and risk management of complex pricing models for Rates, FX, and Commodities derivatives within Morgan Stanley's Fixed Income businesses.
Role type
Vice President, Model Risk Management (Rates)
Builds
Independent control, review, and validation of models used across the Firm's Fixed Income businesses
Domain
Financial Services / Quantitative Finance / Derivatives Pricing
Deliverable
production ML models
Required skills
Quantitative modeling, stochastic calculus, numerical methods, probability theory, model validation, risk prioritization, team leadership, stakeholder management
Preferred skills
Generative AI knowledge, global team management, change management
Technologies
Pricing models, Generative AI solutions
Responsibilities
Perform independent model and tool validation of complex pricing models; Evaluate model documentation and testing robustness; Conduct independent quantitative testing and verify performance monitoring; Identify and escalate model risk themes; Communicate review conclusions and track remedial actions; Collaborate with developers, strategists, and risk teams; Produce high-quality review reports for senior management; Manage book of work and team distribution; Identify and report on emerging model risks.
