Model Review Analyst
- Budapest, Budapest fovaros, Hungary
- Permanent, Full time
- Morgan Stanley
- 25 Apr 19
See job description for details
Model Risk Management
The Model Risk Management 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, FX, equities, commodities, credit, and securitized products), as well as models used for counterparty credit risk (CVA), market risk, operational risk, wealth management products, and capital and liquidity stress tests.
Model Review professionals are located in New York, London, Mumbai 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 Risk Management group on model issues across all asset classes globally.
Your primary responsibilities will include
- 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
Your q ualifications and skills desired
- Master’s or Ph.D. degree in Finance, Economics, Mathematics, Mathematical Finance, Physics, Engineering, or a related quantitative field
- Genuine and broad interest in financial markets and derivatives; internal drive to effectively challenge and improve models with quantitative methods
- 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
- In-depth knowledge of mathematical finance, derivative pricing, option theory, and numerical/quantitative techniques for derivative valuation
- Programming skills in a high-level language such as Matlab or Python; ability to program valuation/pricing models for derivatives
Interested in flexible working opportunities? Morgan Stanley empowers employees to have greater freedom of choice through flexible working arrangements. Speak to our recruitment team to find out more.
Morgan Stanley is an equal opportunities employer. We work to provide a supportive and inclusive environment where all individuals can maximize 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.