Independent review and validation of treasury and irrbb models
Quantitative testing and performance monitoring
Develop understanding of balance sheet dynamics
The role focuses specifically on models used by Treasury, including Interest Rate Risk in the Banking Book (IRRBB), liquidity and funding-related models, and other Treasury analytical tools
Job Summary
The role focuses specifically on models used by Treasury, including Interest Rate Risk in the Banking Book (IRRBB), liquidity and funding-related models, and other Treasury analytical tools.
Primary responsibilities include conducting independent review and validation of Treasury and IRRBB models and tools, developing deep understanding of various Treasury analytics, and reviewing models supporting stress testing and other internal/external exercises.
The position requires strong quantitative skills, attention to detail, and an interest in financial risk management, markets, and balance sheet dynamics.
Matching Summary
The role focuses specifically on models used by Treasury, including Interest Rate Risk in the Banking Book (IRRBB), liquidity and funding-related models, and other Treasury analytical tools.
Salary
Base: $100,000 - $140,000; Bonus/Equity: Discretionary bonuses, other short and long-term incentive packages; Benefits: Other Morgan Stanley sponsored benefit programs
Skills & Requirements
Must-have
Independent review and validation of Treasury and IRRBB models
Quantitative testing and performance monitoring
Develop understanding of balance sheet dynamics
Interest Rate Risk in the Banking Book (IRRBB) models
Liquidity and funding-related models
Regulatory guidance and market trends
Nice-to-have
Collaborative and dynamic environment
Interest in financial risk management
Progress toward professional certifications
Key Requirements
Master's degree in a quantitative or finance related discipline preferred
Bachelor's degree with relevant experience considered
Strong statistical and quantitative skills
Familiarity with financial risk modeling techniques
Programming proficiency in Python, SQL, or similar analytical tools
Prior experience developing or validating models related to IRRBB, Treasury, liquidity, or ALM is a plus
Knowledge of regulatory expectations for model risk management (e.g., SR 11-7) is advantageous