Risk Management - Quant Analysis Group (QAG) Audit (Internal Audit)
- Morgan Stanley
- Mumbai (MSA), Maharashtra, India
- Not disclosed
- 23 Mar 2023
- 23 Apr 2023
- Approved employers
- Approved employer
- Contract type
- Full time
- Experience level
Job DescriptionDivision: Internal Audit Department: Quant Analysis Group (QAG) Audit - India Region: Global Job Level: Associate / Director Location: Mumbai (Nirlon Knowledge Park)
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.
The role will reside within the Internal Audit’s– Model 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, validation methods and procedures of pricing models: analyse conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behaviour and suitability of pricing models/engines to particular products/structures.
- Liaise with model developers, Trading Desk, Model Risk Management and Valuation control teams to provide oversight and guidance on model risk and appropriate usage, controls around model restrictions & limitations, and findings for ongoing performance assessment & testing
- Keep up with the latest developments in coverage area in terms of products, markets, models, risk management practices and industry standards, and emerging trends in the industry.
- Excellence in probability theory, stochastic processes, partial differential equations, and numerical analysis, monte carlo simulation, numerical methods, option pricing theory, Interest rate products, term structures, etc.
- Hands on experience in review/development of interest rate models like Hull-White, or volatility modelling, etc.
- Closure Verification of Regulatory Findings: Verify work performed by the Desk and Model risk management 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.
Primary Responsibilities (Day Job)
- Carrying out detailed quantitative audit of Pricing, Valuation and Market Risk model development and validation processes.
- 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.
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 and very strong analytical and problem-solving abilities
- Strong interpersonal skills in order to interact confidently within Internal Audit and with internal clients
- Monday to Friday from 12:00 PM to 9:00 PM India time with flexibility on standard working hours for time sensitive matters.
- Periodic evening calls with US and EMEA Internal Auditors and auditees
“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.