Quantitative Audit - Vice President

  • Competitive
  • London, England, United Kingdom
  • Permanent, Full time
  • Morgan Stanley
  • 11 Dec 17 2017-12-11

See job description for details


Company Profile

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.

Department Profile

Internal Audit is responsible for validating whether the firm operates in a controlled environment with appropriate risk-management processes. Auditors evaluate the adequacy and effectiveness of the firm’s internal controls using a risk-based methodology developed from professional auditing standards. Internal Audit assists in monitoring the firm’s compliance with internal guidelines set for risk management and risk monitoring, as well as external rules and regulations governing the industry. The team reports directly to the Board Audit Committee and helps verify whether the firm meets all of its fiduciary responsibilities to shareholders, while adhering to corporate-governance standards and legal and regulatory requirements.

Internal Audit is comprised of Business, Risk and Technology auditors. Business and Risk auditors focus on understanding the risks that the businesses face and the controls to mitigate those risks. Technology auditors focus on the application controls supporting the business processes, including systems development, application security and entitlements, production management, and technology governance. Each group is responsible for understanding, analyzing and testing the controls to protect the franchise. This role would be part of the Global Risk Management Quantitative Audit Group (QAG), a group of risk professionals who are functionally part of Internal Audit, and will be based in London. The QAG group is responsible for assessing model risk within first and second lines of defense for model development and model validation processes for all models within the firm.

Primary Responsibilities

Morgan Stanley is seeking an experienced quantitative risk professional, with experience in quantitative finance and ideally hands-on model development or validation experience. The role is at Vice President level and reports jointly to the EMEA Head of Risk Management audit and the Global Head of Quantitative Audit Group.

The successful individual will participate in all aspects of QAG’s responsibilities, including:
• Reviewing Market Risk, Credit Risk and Operational Risk models and validations
• Providing Subject Matter Expertise on PRA regulations on risk and capital models (IMA, IMM, IRB)
• Reviewing risk and capital models and validations against applicable PRA regulations
• Coordinating model risk audit assessment between NY and EMEA audit teams
• Providing Subject Matter Expert support on financial derivatives, risk analytics in other Internal Audit engagements
• Managing projects to ensure on-time delivery and quality control
• Interacting and maintaining relations with regulators and internal clients
• Periodic reporting to senior management


Qualifications:


Skills required
• MS/Ph.D. level of education in a quantitative subject (or equivalent)
• In-depth knowledge of PRA regulations on risk and capital models (IMA, IMM & IRB)
• Experience in quantitative finance
• Hands-on model development or validation experience
• Exposure to wide variety of products and derivatives, risk analytics, validation methodologies and regulatory requirements
• Mature verbal and written communication skills and team worker
• Detailed knowledge of derivative and/or risk and capital models would be advantageous
• Expertise in models like Value at Risk (VaR) calculations; Credit rating or counterparty risk models would be 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.*LI-CL1