Manager QAG Audit
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.
Morgan Stanley is seeking an auditor for its Internal Audit Department (IAD). IAD comprises Business, Risk and Technology Auditors; Subject Matter Experts (e.g., Risk, Data Analytics); and support functions that are responsible for ensuring the department adheres to professional, regulatory and Firm policies and procedures. IAD provides independent assurance on the quality and effectiveness of the Firm?s internal control, risk management, and governance systems and processes. It achieves this by identifying and assessing the operating risks of the Firm and evaluating the adequacy and effectiveness of the Firm?s system of internal control. The division provides opportunity to gain unique insight on the financial industry and its products and operations.
We're looking for detail-oriented team players who have an interest in financial markets and want to gain insight into the firm?s operations and control processes.
Team - Risk Management (QAG)
The role will reside within the Internal Audit?s? Risk Management (Quantitative Analysis Group) audit team in Mumbai. The QAG team is responsible for
- Secondary Reviews of Quantitative Models and Validations: Audit the model development and validation methods and procedures of the Market Risk Analytics Group, Operational Risk Analytics Group, Credit Capital and Rating Analytics, Institutional Securities Group and Model Risk Management on an annual basis. These audits cover the firm?s key capital, risk and pricing models, including: Comprehensive Capital Analysis and Review (CCAR), Value at Risk (VaR), Stressed VaR, Incremental Risk Charge, Comprehensive Risk Measure, Advanced Measurement Approach (AMA Operational Risk), Retail, Wholesale and Securitization Credit models and the full range of front office pricing models.
- Closure Verification of Regulatory Findings: Verify work performed by the above mentioned clients to remediate regulatory findings in the form of Matters Requiring Immediate Attention (MRIA), Matters Requiring Attention (MRA), Market Risk Rules (MRR) and Observations. This involves a review of methodology and testing performed, and, as necessary, additional testing by QAG.role includes assisting the Internal Audit department's ISG audit team in completing its annual audit plan, communicating to senior management and providing recommendations for improvements.
Primary Responsibilities (Day Job)
- Carrying out detailed quantitative audit of Market Risk, Credit Risk and Operational Risk models and validations.
- Carrying out detailed quantitative audit of pricing models and validations.
- Provide support on financial derivatives, risk analytics in other Internal Audit engagements
- Documenting all work performed in a clear, concise, and re-performable manner; uploading all work papers and reports into the Internal Audit work paper system
- Tracking and closing technical findings identified by US Federal Regulators or UK regulators (PRA), or resulting from model audits.
- Periodic reporting to senior management.
Knowledge and Skills
- Masters or PhD in Mathematics, Financial Engineering, Quantitative Finance etc. preferably with a first degree in Math, Engineering etc.
- Knowledge of financial markets, financial mathematics and fluency in stochastic calculus, statistics and Monte Carlo methods.
- Basic Knowledge of financial products (Equities, Fixed Income, Commodities)
- Good written and verbal communication skills
- Strong interpersonal skills in order to interact confidently within Internal Audit and with internal clients