Quantitative Model Auditor Quantitative Model Auditor …

Morgan Stanley
in Budapest, Budapest fovaros, Hungary
Permanent, Full time
Be the first to apply
Competitive
Morgan Stanley
in Budapest, Budapest fovaros, Hungary
Permanent, Full time
Be the first to apply
Competitive
See job description for details

Morgan Stanley is a leading global financial services firm providing a wide range of investment banking, securities, investment management and wealth management services. The Firm's employees serve clients worldwide including corporations, governments and individuals from more than 1,200 offices in 43 countries. As a market leader, the talent and passion of our people is critical to our success. Together, we share a common set of values rooted in integrity, excellence and strong team ethic. Morgan Stanley can provide a superior foundation for building a professional career - a place for people to learn, to achieve and grow. A philosophy that balances personal lifestyles, perspectives and needs is an important part of our culture.

We are looking for
Quantitative Model Auditor
in our Budapest Office

The Morgan Stanley Quantitative Analytics Group (QAG), as part of the firm’s Internal Audit Department, provides an independent model audit control service for most of the firm’s pricing and regulatory market, operational and credit risk models. The team leverages its diverse quantitative skill sets and product knowledge to act as a guardian and approver of key pricing and risk models used for regulatory compliance and managerial decision-making. The group's major function is auditing (reviewing) the model and validation methodologies of other quantitative teams responsible for developing and validating the firm’s pricing and risk models.

Morgan Stanley is seeking an experienced quantitative risk professional, with experience in quantitative finance and ideally hands-on model development or validation experience. The role is at Vice President level and reports to the Global Head of Quantitative Audit Group.

Primary Responsibilities



- Carrying out detailed quantitative review of pricing and risk models and their validations
- Reviewing risk and capital models and validations against applicable FED, OCC, PRA and ECB regulations
- Providing Subject Matter Expertise on model risk regulations
- Coordinating global model risk audit assessments
- Verifying closure of issues identified by regulators or from model risk audits
- Managing projects to ensure on-time delivery and quality control
- Interacting and maintaining relations with regulators and internal clients
- Periodic reporting to senior management


Qualifications:


Skills Required





- MS or Ph.D in a quantitative discipline
- 5+ year of experience in quantitative finance, commensurate with title/seniority
- In-depth knowledge of model risk regulations (SR11-7, SR15-18 and Basel rules)
- Hands-on model development or validation experience
- Exposure to wide variety of products and derivatives, risk analytics, validation methodologies and regulatory requirements
- Mature verbal and written communication skills and team worker

Skills Desired





- Programming skills in at least one high level modeling language such as MatLab, Mathematica, FinCad, S+ or R

Morgan Stanley is an equal opportunities employer. We work to provide a supportive and inclusive environment where all individuals can maximise their full potential. Our skilled and creative workforce is comprised of individuals drawn from a broad cross section of the global communities in which we operate and who reflect a variety of backgrounds, talents, perspectives and experiences. Our strong commitment to a culture of inclusion is evident through our constant focus on recruiting, developing and advancing individuals based on their skills and talents.

Interested in flexible working opportunities? Morgan Stanley empowers employees to have greater freedom of choice through flexible working arrangements. Speak to our recruitment team to find out more. Morgan Stanley is an equal opportunities employer. We work to provide a supportive and inclusive environment where all individuals can maximise their full potential. Our skilled and creative workforce is comprised of individuals drawn from a broad cross section of the global communities in which we operate and who reflect a variety of backgrounds, talents, perspectives and experiences. Our strong commitment to a culture of inclusion is evident through our constant focus on recruiting, developing and advancing individuals based on their skills and talents.
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