Quantitative Model Auditor Quantitative Model Auditor …

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

Quantitative Model Auditor in Internal Audit Department

Due to an expansion of our business, our Budapest office location is growing, creating exciting new opportunities within the Quantitative Analytics Group. This is an opportunity to join a top tier group of nine Ph.D. and Masters level quants at one of the world’s premier investment banks.

We offer:

- Competetitive salary and and benefits
- Flexible working arrangements (core hours and opportunity to work from home)
- Ability to shape your own career by exploring yourself in various roles
- Variety of different learning opportunities to develop as a professional
- Inclusive and welcoming environment

You will:
- Carry out detailed quantitative audit of pricing and risk models
- Verify of closure of any issues identified by US Federal Regulators or UK regulators (PRA)
- Document all work performed in a clear, concise, and re-performable manner; upload all work papers and reports into the Internal Audit work paper system (OpenPages)
-Track and close technical findings resulting from model audits


You have:

- MSC in a quantitative discipline
- Advanced mathematical skills (as QAG performs independent review of the quantitative components of pricing and risk models as a central element of the audit effort)
- Strong interpersonal skills
- Ability to effectively challenge the quantitative methodologies and implementation as well as the closure work performed on regulatory findings
- Ability to work under pressure to tight deadlines
- Programming skills in at least one high level modeling language such as MatLab, Mathematica, FinCad, S+ or R
- Knowledge of financial markets, financial mathematics, industry best practice risk modelling methodologies, knowledge of financial products

Team Profile: 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, product knowledge and programming expertise 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) both the model and validation methodologies of other quantitative teams responsible for developing and validating the firm’s pricing and risk models.

The QAG team within Internal Audit is responsible for :

Secondary Reviews of Quantitative Models and Validations: audit the model development and validation methods and procedures of Market Risk Analytics, Operational Risk Analytics Group, Credit Capital and Rating Analytics, Institutional Securities Group (ISG), Investment Management (IM), Wealth Management (WM) and Model Risk Management (MRM) on an annual basis. These audits cover the firm’s position valuation models and key risk models, including: Value at Risk (VaR), Stressed VaR, Incremental Risk Charge, Comprehensive Risk Measure, Advanced Measurement Approach (AMA Operational Risk) and the full range of Retail and Wholesale Credit models.

Closure Verification of Regulatory Findings: verify work performed by Risk Analytics, ISG, IM, WM and MRM to remediate regulatory findings in the form of Matters Requiring Immediate Attention (MRIA), Matters Requiring Attention (MRA), Market Risk Rules (MRR) and Observations. This will involve a review of methodology and testing performed, and, as necessary, additional testing by QAG.

About us: Morgan Stanley provides a superior foundation for building a professional career - a place for people to learn, achieve and grow. You will be exposed to a truly international and multi-cultural environment that appreciates and respects who you are as a person.

Our offices are placed in the city centre of Budapest providing a cosy and splendid environment for our employees. There are various employee offers such as discount theatre tickets, dry cleaning service and many more.

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. Learn about our culture and the opportunities for professional growth at Morgan Stanley Budapest: Build a career with impact. Visit https://www.morganstanley.com/about-us/global-offices/europe-middle-east-africa/hungary morganstanley.hu for more information.