Company
Morgan StanleyLocation
HungaryRemuneration
CompetitivePosition Type
PermanentEmployment type
Full timeUpdated
21-Oct-2013eFC Ref no
1275681
See job description for details
Position Description
Position Summary
The successful candidate will assist in a team devoted to evaluating the adequacy of models used to assess market risk at Morgan Stanley. He or she will be part of a global team with bases in New York, London, Mumbai and Budapest, and will work closely with other team members to develop methodologies and tools to monitor the risk model performance.
Market Risk Department - Methodology Group
The group is responsible for developing, maintaining and monitoring the firm's market risk models such as Value at Risk, Incremental Risk Charge and Comprehensive Risk Measure. The group also develops stress tests and other methods required for market risk management or regulatory purposes. The main responsibilities of the role will include performing evaluation exercises to ensure ongoing compliance of the models with regulatory requirements.
Primary Responsibilities
Participate in the evaluation and monitoring of the market risk models, including
• performing backtests, stress tests, scenario analyses and sensitivity studies
• performing econometric analyses to verify modeling assumptions and support methodology developments
• conducting on-demand analyses of changes in model parameters and outputs
• performing data analyses for various purposes
Skills Required
• An advanced degree or equivalent background in a quantitative discipline, such as statistics, econometrics, mathematics, engineering or physics
• Solid statistical knowledge
• Familiarity with financial markets and products is a plus
• Programming skill in a high-level language such as Matlab, familiarity with SQL and VBA
• Sound knowledge of Microsoft Office, proficiency in MS Excel
• Clear thinking, good business sense and judgment
• Team player with strong interpersonal and communication skills
• Excellent command of English, both written and verbal
Position Summary
The successful candidate will assist in a team devoted to evaluating the adequacy of models used to assess market risk at Morgan Stanley. He or she will be part of a global team with bases in New York, London, Mumbai and Budapest, and will work closely with other team members to develop methodologies and tools to monitor the risk model performance.
Market Risk Department - Methodology Group
The group is responsible for developing, maintaining and monitoring the firm's market risk models such as Value at Risk, Incremental Risk Charge and Comprehensive Risk Measure. The group also develops stress tests and other methods required for market risk management or regulatory purposes. The main responsibilities of the role will include performing evaluation exercises to ensure ongoing compliance of the models with regulatory requirements.
Primary Responsibilities
Participate in the evaluation and monitoring of the market risk models, including
• performing backtests, stress tests, scenario analyses and sensitivity studies
• performing econometric analyses to verify modeling assumptions and support methodology developments
• conducting on-demand analyses of changes in model parameters and outputs
• performing data analyses for various purposes
Skills Required
• An advanced degree or equivalent background in a quantitative discipline, such as statistics, econometrics, mathematics, engineering or physics
• Solid statistical knowledge
• Familiarity with financial markets and products is a plus
• Programming skill in a high-level language such as Matlab, familiarity with SQL and VBA
• Sound knowledge of Microsoft Office, proficiency in MS Excel
• Clear thinking, good business sense and judgment
• Team player with strong interpersonal and communication skills
• Excellent command of English, both written and verbal
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