Commodities Pricing Model Validation

We are seeking a professional to join the Commodities Pricing Model Validation team in the Budapest office.

The Model Risk Management group is part of the Global Firm Risk Management (FRM) department of Morgan Stanley and it has global responsibility for the independent risk control, review and validation of models used by Morgan Stanley. These include pricing models for derivatives in all asset classes, as well as models used for counterparty credit risk (CVA), market risk, credit risk, operational risk, wealth management products, and capital and liquidity stress tests. In addition to traditional methodologies, MRM also reviews AI and ML models, and GenAI solutions. MRM professionals in New York, London, Budapest, Frankfurt, Mumbai and Tokyo work closely with business capital, risk analytics, risk managers and financial controllers. The Budapest team works closely with other members of the Model Risk Management group on model issues across all asset classes globally.

Since 1935, Morgan Stanley is known as a global leader in financial services, always evolving and innovating to better serve our clients and our communities in more than 40 countries around the world.

What you'll do in the role:

• Perform model validation on complex and state-of-the-art pricing models used by the Commodity Trading Business for daily valuation and risk management of trading positions
• Ensure that documentation of the models is adequate, and model testing is sufficient.
• Assess if the models are conceptually sound, fit for purpose, assumptions and limitations are identified and adequately controlled.
• Perform independent testing and ensure adequate model performance monitoring.
• Identify model risk issues and escalate to management.
• Work closely with model developers, market risk managers and valuation controllers, to understand not only the models but also the business context in which they need to perform well.
• Summarize written assessment in model validation report.
• Conduct on-demand analyses of model performance.
• Work as part of a global team with colleagues based in the London and New York offices.

• MSc or PhD in a STEM area or Finance, strong quantitative background, stochastic calculus knowledge
• 0-5 years of experience with derivative pricing model validation or development; experience in Commodities area is a plus
• Genuine and broad interest in financial markets; internal drive to effectively challenge and improve models with a quantitative and practical mindset.
• Clear thinking, good business sense and judgment, proactive and collaborative attitude
• Strong interpersonal and communication skills
• Experience with programming in a high-level language such as Python is a plus.