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The cornerstone of Morgan Stanley's risk management philosophy is the execution of risk-adjusted returns through prudent risk-taking that protects Morgan Stanley's capital base and franchise. Risk Management protects the Firm from exposure to losses resulting from market, credit and operational risk exposures.
The Model Review Group is part of the Global Risk Management Department of Morgan Stanley and it has global responsibility for the independent risk control, review and validation of models used by Morgan Stanley. These include pricing models for derivatives in all product areas (i.e. interest rates, currencies, equities, commodities, credit, and securitized products), as well as models used for counterparty credit risk (CVA), investment management deals (private equity, infrastructure and real estate), wealth management products and capital and liquidity stress tests (Basel, CCAR).
Model Review professionals are located in New York, London, and Budapest, and they work closely with business quantitative strategists, risk managers and financial controllers. The Budapest team works closely with other members of the Model Review Group on model issues across all asset classes globally.
- Review, test and independently implement pricing and/or stress test models
- Produce written model review reports
- Conduct on-demand analyses of model performance
- Participate in the model control and model risk management processes of the Firm
- Masters degree in Finance, Economics, Mathematics, Mathematical Finance, Physics, Engineering, or a related quantitative field
- Knowledge of financial markets and derivatives
- Knowledge of real estate and/or private equity markets, products and standard valuation approaches
- Strong problem-solving and implementation abilities. Attention to detail
- Clear thinking, good business sense and judgment
- Strong interpersonal and communication skills
- Excellent command of English both written and oral
- Experience with pricing models used for derivatives and securities, or with Basel capital and liquidity rules is a plus
- Knowledge of mathematical finance, derivative pricing, option theory, and numerical/quantitative techniques for derivative valuation is a plus
- Programming skills in a high-level language such as Matlab or Python as well as the ability to program valuation/pricing models for derivatives is a plus.
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.