Morgan Stanley

Model Risk Auditor Director

London, UK
Not disclosed
23 Nov 2022
21 Dec 2022
Approved employers
Approved employer
Contract type
Full time
Experience level

Job Description

About us:

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.

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 the Market Risk Department Methodology (MRD), Operational Risk Analytics Group, Credit Capital and Rating Analytics, Model Review Group and Risk Model Validation Group within MRD on an annual basis. These 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.
  • 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:
  • To work with some of the best professionals in the business - for a firm that values individual intellect as much as teamwork
  • State-of-the-art offices in the City Centre that are designed to maximize collaboration
  • Flexible working arrangements (core hours and opportunity to work from home)
  • Enriching challenges that provide opportunity for constant learning and advancement
  • An environment which is leveraging technology to its highest potential
  • You will:
  • 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


You have:

  • MSC in a quantitative discipline
  • Advanced mathematical and software modelling 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 modelling language such as MatLab, Mathematica, FinCad, S+ or R
  • Strong interpersonal skills 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 might 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

For further information, and to apply, please visit our website via the “Apply” button below.

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