Director - Quant Audit (Internal Audit)

Job Description

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.

Qualifications

The role will reside within the Internal Audit's— Risk Management (Quantitative Analysis Group) audit team in NY. 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:

• Carrying out audit testing of Pricing Models, Model Valuations and validations including electronic trading models and Machine Learning model under guidance of a senior member
• Carrying out detailed quantitative audit of model development and model validation controls and processes
• Provide support on financial derivatives, quantitative analysis in other Internal Audit engagements.

Requirements

Skills required

• Good understanding of quantitative finance, financial engineering, Statistics
• Knowledge of financial markets, financial mathematics and a basic fluency in stochastic calculus, statistics
• Strong interpersonal skills in order to interact confidently within Internal Audit and with internal clients.
• Team player and ability to work seamlessly with team members across regions (Europe, India)
• Knowledge of derivative pricing models across multiple asset classes and wide range of financial products (Equities, Fixed Income, Commodities)
• Knowledge of industry practice in risk modeling and/or model validation methodologies.

Skills required

• A first degree in STEM fields, quantitative finance or econometrics and preferably a Masters or above degree in one of those areas.
• Evidence of prior technical writing, say in form of a published conference paper or a peer-reviewed journal article, where you were the lead person to write the paper or article.

Desired Experience

• 3+ years of relevant experience
• Any experience in Artificial Intelligence and Machine Learning (AI/ML) techniques, especially a knowledge of Explainability tests or Explainable AI (XAI), desirable.
• Any experience in Independent Price Verification (IPV) process conducted by Finance, desirable.
• Any experience/understanding of expectations from the regulations related to Fundamental Review of Trading Books (FRTB) and/or Prudent Valuations (from UK regulations), desirable.
• Any experience in counterparty credit risk models (CVA or Margin calculations), desirable.
• Any relevant certifications Series 7, 63, or CFA, FRM, CQF etc. (or certifications in progress), desirable
• Any relevant experience in Banking Books, like Interest Rate Risk in Banking Books (IRRBB) or Hedge-Accounting, desirable
• Any prior work related to Algorithmic Trading, including order-routing, order-execution (e.g., VWAP/TWAP etc.), auto-hedgers, across Equities or Fixed-Income desirable.

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