Model Risk, Asset Liability Management (Risk Management) : Job Level - Associate
Morgan Stanley, New York, NY, United States
Overview
Firm Risk Management (FRM) supports Morgan Stanley by partnering with business units to achieve efficient risk‑adjusted returns, acting as a strategic advisor to the Board and protecting the Firm from exposure to losses from credit, market, liquidity, operational, model and other risks. This position is located within the Model Risk Management (MRM) group and focuses on Treasury models, including Interest Rate Risk in the Banking Book (IRRBB), liquidity and funding‑related models, and other Treasury analytical tools.
Primary Responsibilities
Conduct independent review and validation of Treasury and IRRBB models and tools, including methodologies supporting Net Interest Income (NII).
Develop deep understanding of Economic Value of Equity (EVE), behavioral models, interest rate risk methods, pre‑payment/decay models, term‑structure methodologies, liquidity modeling tools, and other Treasury analytics.
Review models supporting stress testing, ICAAP, and other internal/external exercises to ensure conceptual soundness, appropriate assumptions, and robustness of implementation.
Support development and execution of MRM independent testing frameworks in accordance with regulatory expectations.
Perform quantitative testing, including sensitivity analyses, benchmarking, backtesting, and performance monitoring.
Stay current on regulatory guidance, market trends, and macro/micro themes relevant to Treasury model risks.
Prepare clear and well‑structured validation reports for internal stakeholders (model developers, internal audit) and external regulators.
Communicate validation results and methodological assessments effectively to internal audiences, including senior management.
Qualifications
Master's degree in a quantitative or finance discipline (e.g., Mathematical Finance, Statistics, Physics, Operations Research) preferred; Bachelor's degree with relevant experience considered.
Strong statistical and quantitative skills – regression, time‑series analysis, stochastic processes, Monte Carlo methods.
Familiarity with financial risk modeling techniques and software such as QRM, particularly used in IRRBB, balance sheet management, and liquidity/treasury models.
Programming proficiency in Python, SQL, or similar analytical tools.
Prior experience developing or validating models related to IRRBB, Treasury, liquidity, or Asset Liability Management is a plus.
Knowledge of regulatory expectations for model risk management (e.g., SR 11‑7) is advantageous.
Ability to work collaboratively in a dynamic environment with a mix of technical and market‑oriented tasks.
Progress toward professional certifications such as CFA or FRM is beneficial.
Benefits Competitive base pay ranging from $100,000 to $140,000 annually, with additional compensation through commissions, incentive awards, discretionary bonuses, and other short‑ and long‑term incentive packages. Employees also receive a comprehensive benefits program and opportunities for career growth.
Equal Opportunity Statement Morgan Stanley is an equal‑opportunity employer committed to building and maintaining a workforce that is diverse in experience and background. Our recruiting efforts reflect a strong commitment to a culture of inclusion, where individuals are hired, developed, and advanced based on their skills and talents. For more information on our EEO policies, please visit: https://www.morganstanley.com/people-opportunities/eeo.
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Primary Responsibilities
Conduct independent review and validation of Treasury and IRRBB models and tools, including methodologies supporting Net Interest Income (NII).
Develop deep understanding of Economic Value of Equity (EVE), behavioral models, interest rate risk methods, pre‑payment/decay models, term‑structure methodologies, liquidity modeling tools, and other Treasury analytics.
Review models supporting stress testing, ICAAP, and other internal/external exercises to ensure conceptual soundness, appropriate assumptions, and robustness of implementation.
Support development and execution of MRM independent testing frameworks in accordance with regulatory expectations.
Perform quantitative testing, including sensitivity analyses, benchmarking, backtesting, and performance monitoring.
Stay current on regulatory guidance, market trends, and macro/micro themes relevant to Treasury model risks.
Prepare clear and well‑structured validation reports for internal stakeholders (model developers, internal audit) and external regulators.
Communicate validation results and methodological assessments effectively to internal audiences, including senior management.
Qualifications
Master's degree in a quantitative or finance discipline (e.g., Mathematical Finance, Statistics, Physics, Operations Research) preferred; Bachelor's degree with relevant experience considered.
Strong statistical and quantitative skills – regression, time‑series analysis, stochastic processes, Monte Carlo methods.
Familiarity with financial risk modeling techniques and software such as QRM, particularly used in IRRBB, balance sheet management, and liquidity/treasury models.
Programming proficiency in Python, SQL, or similar analytical tools.
Prior experience developing or validating models related to IRRBB, Treasury, liquidity, or Asset Liability Management is a plus.
Knowledge of regulatory expectations for model risk management (e.g., SR 11‑7) is advantageous.
Ability to work collaboratively in a dynamic environment with a mix of technical and market‑oriented tasks.
Progress toward professional certifications such as CFA or FRM is beneficial.
Benefits Competitive base pay ranging from $100,000 to $140,000 annually, with additional compensation through commissions, incentive awards, discretionary bonuses, and other short‑ and long‑term incentive packages. Employees also receive a comprehensive benefits program and opportunities for career growth.
Equal Opportunity Statement Morgan Stanley is an equal‑opportunity employer committed to building and maintaining a workforce that is diverse in experience and background. Our recruiting efforts reflect a strong commitment to a culture of inclusion, where individuals are hired, developed, and advanced based on their skills and talents. For more information on our EEO policies, please visit: https://www.morganstanley.com/people-opportunities/eeo.
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