EMEA Risk Audit – Model Risk Audit – AVP
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.
Internal Audit is responsible for validating whether the firm operates in a controlled environment with appropriate risk management processes. Auditors evaluate the adequacy and effectiveness of the firm’s internal controls using a risk based methodology developed from professional auditing standards. Internal Audit assists in monitoring the firm’s
Compliance with internal guidelines set for risk management and risk monitoring, as well as external rules and regulations governing the industry. The department reports directly to the Board Audit Committee and helps verify whether the firm meets all of its fiduciary responsibilities to shareholders, while adhering to corporate-governance standards and legal and regulatory requirements. Internal Audit is comprised of Business, Risk, Compliance, Finance and Technology audit groups. Business, Risk, Compliance and Finance auditors focus on understanding the risks that the businesses face and the controls to mitigate those risks. Technology auditors focus on the application controls supporting the business processes, including systems development, application security and entitlements, production management, and technology governance. All groups are responsible for understanding, analyzing and testing the controls to protect the franchise
The Quantitative Analytics Group (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 the Market Risk Department Methodology (MRD), Operational Risk Analytics Group, Credit Capital andRating Analytics, Model Review Group and Risk Model Validation Group within MRD on an annual basis. The se audits cover the firm’s key risk models, including: Value at Risk (VaR), Stressed VaR, Stress-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 MRD 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 MRD testing performed, and, as necessary, additional testing by QAG.
- carrying out detailed quantitative audit of pricing and risk models
- verification of closure of any issues identified by US Federal Regulators or UK regulators (PRA)
- 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 (OpenPages)
- tracking and closing technical findings resulting from model audits
Qualifications - External
- Degree in a quantitative discipline
- Advanced mathematical and software modeling skills are mandatory (as QAG performs independent software replication of the quantitative components of risk models as a central element of the validation effort)
- Programming skills in at least one high level modeling language such as MatLab, Mathematica, FinCad, S+ or R
- Strong interpersonal skills in order to interact confidently with Internal Audit and MRD management and risk model developers
- 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
- Ability to develop strong internal client relationships
You may also have:
- Ph.D. in a quantitative discipline
- Experience with compiled or interpretive development languages such C/C++, C#, VBA, or JAVA
- Knowledge of financial markets, financial mathematics, industry best practice risk modeling methodologies, knowledge of financial products (FI, FX, commodities, equities, derivatives), their pricing models and a basic fluency in stochastic calculus, statistics and Monte Carlo methods
- 1-3 years of development or validation experience in pricing and/or risk models
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.
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.
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.For further information, and to apply, please visit our website via the “Apply” button below.