Associate – Counterparty Credit Model Review (Model Risk Management)

Full Job Description

Associate – Counterparty Credit Model Review (Model Risk Management)

Job Number:


POSTING DATE: Jun 22, 2021

PRIMARY LOCATION: Americas-United States of America-New York-New York

EDUCATION LEVEL: Master’s Degree

JOB: Model Risk


JOB LEVEL: Associate


Morgan Stanley

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.

The talent and passion of our people is critical to our continued success as a firm. Together, we share five core values rooted in integrity, excellence and strong team ethic:

1. Doing the Right Thing

2. Putting Clients First

3. Leading with Exceptional Ideas

4. Committing to Diversity and Inclusion

5. Giving Back

Morgan Stanley is committed to helping its employees build meaningful careers and we strive to be a place for people to learn, achieve and grow.

Firm Risk Management

Firm Risk Management (FRM) enables Morgan Stanley to achieve its business goals by partnering with business units across the Firm to realize efficient risk-adjusted returns, acting as a strategic advisor to the Board and protecting the Firm from exposure to losses as a result of credit, market, liquidity, operational, model and other risks.

Our mission is to serve as the follow roles:

Independent agent to set consistent principles and disciplines for risk management

Strategic advisor to Firm management for setting risk appetite and allocating capital

Industry leader to influence and meet regulatory standards

You will collaborate with colleagues across FRM and the Firm to protect the Firms capital base and franchise, advise businesses and clients on risk mitigating strategies, develop tools and methodologies to analyze and monitor risk, contribute to key regulatory initiatives and report on risk exposures and metrics to enable informed and strategic decision-making. Through thoughtful analysis and clear communication we are best able to bring our ideas to the table and improve the Firm.

Firm Risk Management values diversity and is committed to providing a supportive and inclusive workplace for all employees.

Firm Risk Management?s unique franchise promotes:

Flat, flexible and integrated global organization

Collaboration and teamwork

Credible, independent decision-making

Organizational influence

Creative and practical solutions

Meritocratic and diverse culture

Primary Responsibilities

Perform independent review and validation of CVA and CCAR models

Conduct model review activities compliant with Model Risk Management policies and procedures, regulatory guidance, and industry leading practices, including evaluating/challenging conceptual soundness, quality of modeling methodology, testing, model limitations, and on-going monitoring

Work with a global team within Model Risk Management, meeting deliverable due dates, and escalating issues

Communicate model validation conclusions to managers and relevant stakeholders

Write comprehensive validation documentation for models that satisfies the firm?s internal model approval functions, audit requirements, and regulatory standards

Represent Model Risk Management team in interactions with internal audit and regulatory agencies as required

Keep up-to-date with trends in economic environment, financial markets, fiscal and financial policies and re-assess adequacy and relevance of model development and validation activities


Skills Required

Masters or Doctorate degree in a technical area such as Financial Engineering, Computational Finance, Mathematical Finance, Mathematics, Statistics, Computer Science, Physics or related fields

Familiarity with essential quantitative techniques used in financial models

Quantitative programming skills (e.g. Python, R, etc) as well as Excel and SQL

Strong written and verbal communication skills. Must be comfortable leading meetings and making formal presentations

Self-starter, highly organized and able to work in a diverse and dynamic team, managing challenging tasks and leveraging quantitative and market-oriented knowledge and skills

Skills Desired:

Previous experience in risk management or model development roles a plus

Desire to work in a dynamic, team-oriented environment focusing on challenging tasks mixing fundamental, quantitative and market-oriented knowledge and skills

Familiar with regulatory requirements (e.g. CCAR) and regulators (Fed, OCC, PRA, EBA)

Familiarity with pricing models for asset classes

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