Rates Valuation Model Controller

  • Competitive
  • Budapest, Budapest fovaros, Hungary Budapest Budapest fovaros HU
  • Permanent, Full time
  • Morgan Stanley
  • 17 Mar 18 2018-03-17

See job description for details

Morgan Stanley is a leading global financial services firm providing a wide range of investment banking, securities, investment management and wealth management services.

We are currently looking for
Rates Valuation Model Controller
for our Budapest Office

The Morgan Stanley Valuation Review Group is part of the firm’s Finance organization (Financial Control Group). The team that has been existing in Budapest since 2007 is an integrated and vital part of the global operation as they represent 60% of the entire global team. VRG is responsible for performing an independent review of the portfolio valuation and relevant valuation adjustments, which involves pre-approval of valuation methodologies, testing compliance to such methodologies, comparison of Morgan Stanley marks to external marks/benchmarks, identification and resolution of potential pricing discrepancies and provides a valuation summary assessment to senior management.

The Model Control team within VRG certifies that the Position Valuation and Risk Models (PVRMs), developed by strategists and used to value positions, are compliant with Firm model control standards and appropriate to value products for the Firm's books and records.

Primary Responsibilities:

  • Independently review and assess the complex mathematical models used for valuations of exotic derivatives and other financial instruments.
  • Assess the valuation methodologies, testing of valuation tools, identification and resolution of valuation discrepancies, and communicating assessments to senior management and challenging model developers.
  • Interface with key/senior stakeholders (both on finance and business side), governing bodies and business partners to discuss the status of the validation work, results of test work and reporting


Skills required :
  • Knowledge of financial markets and derivatives
  • Strong inter-personal skills in order to interact confidently with Business Unit, Trading Strategists, Finance senior management, and the Market Risk Department
  • Ability to challenge the valuation methodologies proposed by the Business Unit quantitative strategists
  • Ability to work under pressure to tight deadlines
  • The ideal candidate will have experience with proficiency in the theory and application of derivatives modelling
  • Strong academics required with preference for an advanced degree in a quantitative discipline: e.g. financial engineering, statistics, mathematics, physics, or engineering

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.