Quantitative Model Auditor

Description

Given the continued spread of COVID-19 (coronavirus), all interviews will be conducted by phone or virtual connection to protect our candidates and employees.

Quantitative Model Auditor

Description:

As a quantitative model auditor, you will gain comprehensive insight in the quantitative modelling approaches of the Firm in multiple areas and add value by providing independent assessment of the modelling framework and the controls in place.

We offer:

• professional development opportunities to become expert in quantitative methods used in financial markets, derivatives pricing, risk management, capital planning, stress testing and more
• supportive, vibrant, and inclusive multinational and multi-cultural environment
• support to grow and shape your own career by exploring yourself in various roles
• flexible working arrangements (opportunity to work from home)
• contingent/leased assignment working with Morgan Stanley onsite in the Budapest office
• contract via third-party agency

You will:

• gain understanding of how the risk management and the modelling activity of a global financial service company is governed and operated
• carry out detailed quantitative review of a large variety of derivatives pricing, risk management, capital, stress testing and other models
• cooperate with other auditors to identify vulnerabilities of the models
• work with model developers and model risk managers to identify and discuss issues and remediation actions relating to the modelling approach and the related processes and controls
• regular follow-up with clients on the progress of relevant audit action items through completion
• check and verify the actions taken to address the modelling issues identified by Audit or Model Risk Management
• check and verify the remediation activity of the firm on regulatory findings relating to models
• continuously monitor the development and the performance of a wide range of models
• document all the assessment activities in a clear and concise manner

Qualifications

You have:

• MSc in a quantitative discipline (maths, physics, engineering, quantitative finance or similar)
• advanced analytical and mathematical skills (e.g. statistics, econometrics, stochastic finance)
• familiarity or strong interest in financial markets, derivative products and risk modelling methodologies
• confident command of English
• strong interpersonal skills (communication, asking the right questions)
• pro-active, solution-oriented mindset
• willingness to work in a fast-moving, global environment, with a wide network of business partners
• programming skills in at least one language (e.g. Python, MatLab, Mathematica, R) is an advantage
• outstanding work ethics, living the core values of the Firm

Team Profile:

Morgan Stanley Internal Audit Department is responsible for validating that the firm operates in a well-controlled environment with appropriate risk-management processes. Auditors evaluate the adequacy and effectiveness of the firm’s internal controls using a risk-based methodology and assists in monitoring the firm’s compliance with internal guidelines as well as with external rules and regulations governing the industry.

The Quantitative Audit Group (QAG), as part of the Internal Audit Department, provides an independent control service by auditing the Firm’s pricing, risk management (market, credit, liquidity and operational risk), capital, stress testing, electronic trading, decision making and other models. The team leverages its diverse quantitative skillset, product knowledge, analysing and programming expertise to act as a guardian of the key pricing, risk and other models used for regulatory compliance, capital calculation and risk management purposes. The group's major function is to review and assess the modelling approach, the model development and the model validation process.

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 office is placed in Budapest, providing a cosy and splendid environment for our employees.

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.