Model Risk, Asset Liability Management… at E*TRADE from… · New York

Summary: E*TRADE from Morgan Stanley is a financial services firm that aims to achieve efficient risk-adjusted returns while protecting against various risks. The Model Risk Management role focuses on the oversight of models used by Treasury, including interest rate risk and liquidity models, requiring strong quantitative skills and attention to detail. Responsibilities: - Conduct independent review and validation of Treasury and IRRBB models and tools, including methodologies supporting Net Interest Income (NII) - Review models supporting stress testing, ICAAP, and other internal/external exercises, ensuring conceptual soundness, appropriateness of 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 Required Qualifications: - Master's degree in a quantitative or finance related discipline (e.g., Mathematical Finance, Statistics, Physics, Operations Research) preferred; Bachelor's degree with relevant experience considered - Strong statistical and quantitative skills - e.g., regression, time series, stochastic processes, Monte Carlo methods is preferred - Familiarity with financial risk modeling techniques and software like QRM, particularly those 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 in a collaborative, dynamic environment with a mix of technical and market oriented tasks Preferred Qualifications: - Progress toward professional certifications such as CFA or FRM is beneficial Required Skills: Quantitative skills, Statistical analysis, Regression, Time series analysis, Stochastic processes, Monte Carlo methods, Financial risk modeling, Model validation, Interest Rate Risk in the Banking Book (IRRBB), Liquidity modeling, Asset Liability Management, Python, SQL, QRM software, Regulatory knowledge - SR 11-7 Benefits: Comprehensive employee benefits and perks in the industry