Associate-Model Risk Management

Morgan Stanley; Mumbai; On-site; INR 1,500,000 - 2,100,000; Full time

Job summary

Morgan Stanley in Mumbai seeks a strong Model Risk Management professional to lead reviews and validation of models and tools used in traded risk, VaR, FRTB IMA, and RNIV. The role involves independent validation, governance and communication with senior management.

Ideal candidates hold a master’s or PhD in a quantitative field, 4–6 years in model validation, and strong Python skills with knowledge of R/Scala/MATLAB. An aptitude for learning and collaboration is essential.

Qualifications

• Masters or Doctorate in a quantitative discipline is essential.
• 4-6 years of relevant work experience in a Model Validation role.
• Strong written & verbal communication, present complex topics clearly.
• Proficient in Python; knowledge of R, Scala, MATLAB preferred.
• Willingness to learn new topics and adapt quickly.
• Knowledge of statistical techniques, quantitative finance and programming.
• Knowledge of machine learning techniques preferred.
• CQF, CFA or progress toward it preferred.
• Desire to work in a dynamic, team-focused environment.

Responsibilities

• Provide independent review and validation compliant with MRM policies and procedures.
• Deliver end-to-end validation and related Risk Management deliverables.
• Write model review findings in validation documents for internal and external audiences.
• Verbally communicate results and debate issues with senior management.
• Represent MRM in regulatory and audit interactions as required.
• Follow financial markets and trends to enhance validation deliverables.

Skills

Communication skills

Debating viewpoints

Presentation skills

Continuous learning

Education

Master's or Doctorate in quantitative field

Tools

Python

R

Scala

MATLAB

Job description

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 Stanleys 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 market volatilities and defaults by our lending and trading counterparties.

Background on the Position

Morgan Stanley’s Model Risk Management (MRM) department resides within Morgan Stanley’s Firm Risk Management Division. Morgan Stanley’s global MRM team, spread across New York, London, Mumbai and Budapest is broadly responsible for the risk management of all of the Firm’s models involving model validation, risk assessment, and governance and act as an effective second line of defence within the Firm. Morgan Stanley is seeking a strong candidate to be a member of the MRM team in Mumbai, focused on the review, validation and risk assessment of models and tools on Traded Risk including, but not limited to VaR, FRTB IMA, RNIV etc.

Primary Responsibilities

Provide independent review and validation compliant with MRM policies and procedures, regulatory guidance and industry leading practices, including evaluating conceptual soundness, quality of model methodology, model limitations, data quality, and on-going monitoring of model performance

Take initiatives and responsibility of end-to-end delivery of a stream of Model Validation and related Risk Management deliverables

Write Model Review findings in validation documents that could be used for presentations both internally (model and tool developers, business unit managers, Audit, various global Committees) as well as externally (Regulators)

Verbally communicate results and debate issues, challenges and methodologies with internal audiences including senior management

Represent MRM team in interactions with regulatory and audit agencies as and when required

Follow financial markets & business trends on a frequent basis to enhance the quality of Model and Tool Validation and related Risk Management deliverables.

Qualifications

• Masters or Doctorate degree in a quantitative discipline such as Statistics, Mathematics, Physics, Computer Science or Engineering is essential
• Experience in a Quant role in validation of Models, in developments of Models or in a technical role in Financial institutions e.g. Developer, is essential
• Strong written & verbal communication skills including debating different viewpoints and making formal presentations of complex topics to a wider audience is preferred
• 4-6 years of relevant work experience in a Model Validation role in a bank or financial institution
• Proficient programmer in Python ; knowledge of other programming languages like R, Scala, MATLAB etc. is preferred
• Willingness to learn new and complex topics and adapt oneself (continuous learning) is preferred
• Working knowledge of statistical techniques, quantitative finance and programming is essential; good understanding of various complex financial instruments is preferred
• Knowledge of popular machine learning techniques is preferred
• Relevant professional certifications like CQF, CFA or progress made towards it are preferred
• Desire to work in a dynamic, team-oriented, fast-paced environment focusing on challenging tasks mixing fundamental, quantitative, and market-oriented knowledge and skills is essential