Vice President – Model Risk (Rates, FX and Commodities)
An independent validation role in the firm's model risk group, reviewing derivatives pricing models used by the rates, FX and commodities trading businesses. It also leads work and reports to governance forums.
What you’d work on
Our reading of the posting: what a new hire in this role would most likely spend their first months on.
- Validate pricing models for rates, FX and commodity derivatives
- Run independent quantitative tests of model performance
- Check documentation, monitoring and change management against firm standards
- Write review reports for senior management and track remediation of issues
- Distribute work among team members and manage the book of reviews
What they ask for
Required
- Master's or PhD in a quantitative field or finance
- Numerical methods and probability
- Stochastic calculus
- Model development or validation expertise
- Risk-oriented mindset
- Clear communication with senior stakeholders
- Experience leading a global team
- Education
- Master's or PhD in a quantitative discipline or finance.
- Experience
- Proven model development or validation expertise plus experience leading a global team; years not stated
- Markets
- fixed-income, fx, commodities
How to prepare
- Independently re-implement a Black-76 or Hull-White swaption pricer and compare it with a benchmark
- Write a mock validation report on a curve construction or option model, covering assumptions and limitations
- Study calibration instability and how to test model performance and monitoring
- Learn SR 11-7 expectations for conceptual soundness and ongoing monitoring
What to study
- Fixed Income and Interest-Rate Models
- Derivatives Pricing and Computational Finance
- Quantitative Risk Management
- Advanced Derivatives and Exotic Options
The Model Validation Quant roadmap sets out the stages for this kind of role, with free resources for each.
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SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Morgan Stanley and doesn’t handle applications.