Risk Methodology Quantitative Analyst Risk Methodology Quantitative Analyst …

Morgan Stanley
in Budapest, Budapest fovaros, Hungary
Permanent, Full time
Be the first to apply
Morgan Stanley
in Budapest, Budapest fovaros, Hungary
Permanent, Full time
Be the first to apply
See job description for details

Given the continued spread of COVID-19 (coronavirus), all interviews will be conducted by phone or virtual connection to protect our candidates and employees.

We offer:

- A competitive salary and eligibility for annual bonus

- Exceptional opportunity to expand your knowledge about models used in different risk stripes (market, credit, counterparty credit)

- Flexible working arrangements (core hours and opportunity to work from home)

- The ability to grow and shape your own career

- Continued professional development based on your career interests

- Inclusive and welcoming environment

You will:

- In conjunction with the global Risk Analytics team, support the implementation of Frankfurt specific market and credit risk model enhancements

- Perform model calculations for regulatory capital reporting for various Risk Not in VaR, Risk Not in IMM and Economic Capital models for the entity

- Understand the drivers of the different market and credit risk models and provide insightful commentary on quarter on quarter changes to internal stakeholders and the local regulators

- Support the independent reviews conducted by Model Risk Management and Independent Audit of the models applied on the entity

- Contribute to long term project work, such as the development of a model performance monitoring tool, and the automation of manual processes related to model calculations

- Collaborate with global teams


You have:

- A degree in a quantitative field such as Mathematics, Mathematical Finance, Physics or Engineering (Finance or Economics would also be considered).

- Very strong motivation to learn about new models and develop new skills, and genuine interest in understanding the ’big picture’, the business model of the entity

- Strong quantitative skills, sound knowledge of mathematics and statistics

- Familiarity with at least one of the following fields: market risk, credit risk, counterparty credit risk

- Coding experience in at least one of the following coding languages: R, Matlab, Python, VBA

- Clear thinking, good business sense and judgment

- Strong interpersonal and communication skills

- Excellent command of English both written and verbal

Team Profile: The Frankfurt Risk Analytics team is responsible for the development and the oversight of the risk models used at the MSEHSE Group, the Firm’s Brexit branch in Frankfurt. The models in scope cover all risk stripes including market risk (IMA), credit risk (IRB) and counterparty credit risk (IMM). The group develops and improves MSEHSE Group’s risk models used for computing Value at Risk, Risk not in VaR, Credit Concentration Risk, Risk not in IMM and other risk measures. The group also performs regular monitoring and reporting for risk models to local regulators and provides support for internal stakeholders.

About us: Morgan Stanley provides a superior foundation for building a professional career - a place for people to learn, achieve and grow. You will be exposed to a truly international and multi-cultural environment that appreciates and respects individuality.

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 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. Learn about our culture and the opportunities for professional growth at Morgan Stanley Budapest: Build a career with impact. Visit https://www.morganstanley.com/about-us/global-offices/europe-middle-east-africa/hungary morganstanley.hu for more information.