Company
Morgan StanleyLocation
HungaryRemuneration
CompetitivePosition Type
ContractEmployment type
Full timeUpdated
21-Oct-2013eFC Ref no
1289313
See job description for details
Position Description
The successful candidate will primarily be responsible for carrying out detailed quantitative validations of risk models, and for the verification of closure of any issues identified by US Federal Regulators. The candidate will also be responsible for 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 (PAWS); and for tracking and closing technical findings resulting from model validations.
The QAG team within Internal Audit is responsible for:
• Primary Model Validations: quantitative hands-on validations (by bench-marking or replication) of the firm's key risk models, including: Value at Risk (VaR), Stressed VaR, Stress-VaR, Incremental Risk Charge, Comprehensive Risk Measure and the Advanced Measurement Approach (AMA Operational Risk) models.
• Secondary Reviews of Model Validations: audit the model validation methods and procedures of the Model Review Group and the Credit Review Model Group within MRD on an annual basis.
• 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.
Skills Required
• QAG performs independent software replication of the quantitative components of risk models as a central element of the validation effort. Therefore, advanced mathematical and software modeling skills are mandatory.
• Advanced programming skills in at least one high level modeling language such as MatLab, Mathematica, FinCad, S+ or R. Experience with compiled or interpretive development languages such C/C++, C#, VBA, or JAVA a plus.
• Strong inter-personal skills in order to interact confidently with Internal Audit management, MRD management and risk model developers.
• The candidate needs to be able to effectively challenge the quantitative methodologies and implementation developed MRD as well as the closure work performed on regulatory findings.
• The ability to work under pressure to tight deadlines.
• The ability to develop strong internal client relationships.
Skills Desired
• 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.
The successful candidate will primarily be responsible for carrying out detailed quantitative validations of risk models, and for the verification of closure of any issues identified by US Federal Regulators. The candidate will also be responsible for 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 (PAWS); and for tracking and closing technical findings resulting from model validations.
The QAG team within Internal Audit is responsible for:
• Primary Model Validations: quantitative hands-on validations (by bench-marking or replication) of the firm's key risk models, including: Value at Risk (VaR), Stressed VaR, Stress-VaR, Incremental Risk Charge, Comprehensive Risk Measure and the Advanced Measurement Approach (AMA Operational Risk) models.
• Secondary Reviews of Model Validations: audit the model validation methods and procedures of the Model Review Group and the Credit Review Model Group within MRD on an annual basis.
• 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.
Skills Required
• QAG performs independent software replication of the quantitative components of risk models as a central element of the validation effort. Therefore, advanced mathematical and software modeling skills are mandatory.
• Advanced programming skills in at least one high level modeling language such as MatLab, Mathematica, FinCad, S+ or R. Experience with compiled or interpretive development languages such C/C++, C#, VBA, or JAVA a plus.
• Strong inter-personal skills in order to interact confidently with Internal Audit management, MRD management and risk model developers.
• The candidate needs to be able to effectively challenge the quantitative methodologies and implementation developed MRD as well as the closure work performed on regulatory findings.
• The ability to work under pressure to tight deadlines.
• The ability to develop strong internal client relationships.
Skills Desired
• 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.
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