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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.
The Morgan Stanley Quantitative Analytics Group (QAG), as part of the firm's Internal Audit Department, provides an independent model audit control service for most of the firm's pricing and regulatory market, operational and credit risk models. The team leverages its diverse quantitative skill sets, product knowledge and programming expertise to act as a guardian and approver of key pricing and risk models used for regulatory compliance and managerial decision-making. The group's major function is auditing (reviewing) both the model and validation methodologies of other quantitative teams responsible for developing and validating the firm's pricing and risk models.
The QAG team within Internal Audit is responsible for: - Secondary Reviews of Quantitative Models and Validations: audit the model development and validation methods and procedures of the Market Risk Department Methodology (MRD), Operational Risk Analytics Group, Credit Capital and Rating Analytics, Model Review Group and Risk Model Validation Group within MRD on an annual basis. These audits cover the firm's key risk models, including: Value at Risk (VaR), Stressed VaR, Stress-VaR, Incremental Risk Charge, Comprehensive Risk Measure, Advanced Measurement Approach (AMA Operational Risk) and the full range of Retail and Wholesale Credit models. - 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.
Due to an expansion of our business, our Budapest office location is growing, creating exciting new opportunities within the Quantitative Analytics Group. This is an opportunity to join a top tier group of nine Ph.D. and Masters level quants at one of the world's premier investment banks.
- carrying out detailed quantitative audit of pricing and risk models - verification of closure of any issues identified by US Federal Regulators or UK regulators (PRA) - 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 (OpenPages) - tracking and closing technical findings resulting from model audits
- MSC in a quantitative discipline - Advanced mathematical and software modeling skills are mandatory (as QAG performs independent software replication of the quantitative components of risk models as a central element of the validation effort) - Programming skills in at least one high level modeling language such as MatLab, Mathematica, FinCad, S+ or R - Strong interpersonal skills in order to interact confidently with Internal Audit and MRD management and risk model developers - Ability to effectively challenge the quantitative methodologies and implementation as well as the closure work performed on regulatory findings - Ability to work under pressure to tight deadlines - Ability to develop strong internal client relationships
- Ph.D. in a quantitative discipline - Experience with compiled or interpretive development languages such C/C++, C#, VBA, or JAVA - 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 - 1-3 years of development or validation experience in pricing and/or risk models
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.