Internal Audit - Risk Management - Quantitative Analysis Group - Director

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 (IAD)

IAD comprises Business, Risk and Technology Auditors; Subject Matter Experts (e.g., Risk, Data Analytics); and support functions that are responsible for ensuring the department adheres to professional, regulatory and Firm policies and procedures. IAD provides independent assurance on the quality and effectiveness of the Firm's internal control, risk management, and governance systems and processes. It achieves this by identifying and assessing the operating risks of the Firm and evaluating the adequacy and effectiveness of the Firm's system of internal control. The division provides opportunity to gain unique insight on the financial industry and its products and operations.

The role will reside within the Internal Audit - Risk Management (Quantitative Analysis Group) Team.

The QAG team is responsible for

1. Secondary Reviews of Quantitative Models and Validations: Audit the model development and validation methods and procedures of the Market Risk Analytics Group, Operational Risk Analytics Group, Credit Capital and Rating Analytics, Institutional Securities Group and Model Risk Management on an annual basis. These audits cover the firm's key capital, risk and pricing models, including: Comprehensive Capital Analysis and Review (CCAR), Value at Risk (VaR), Stressed VaR, Incremental Risk Charge, Comprehensive Risk Measure, Advanced Measurement Approach (AMA Operational Risk), Retail, Wholesale and Securitization Credit models and the full range of front office pricing models.
2. Closure Verification of Regulatory Findings: Verify work performed by the above mentioned clients to remediate regulatory findings in the form of Matters Requiring Immediate Attention (MRIA), Matters Requiring Attention (MRA), Market Risk Rules (MRR) and Observations. This involves a review of methodology and testing performed, and, as necessary, additional testing by QAG role includes assisting the Internal Audit department's ISG audit team in completing its annual audit plan, communicating to senior management and providing recommendations for improvements.

We're looking for detail-oriented team players who have an interest in financial markets and want to gain insight into the firm's operations and control processes.

Primary Responsibilities

• Carrying out audit testing of Pricing Models, Model Valuations and validations including electronic trading models and Machine Learning model under guidance of a senior member
• Carrying out detailed quantitative audit of model development and model validation controls and processes
• Provide support on financial derivatives, quantitative analysis in other Internal Audit engagements
• Use and build data analytic tools to assist in model risk assessment
• Help develop a library of models and codes for various assurance activities
• 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
• Tracking and closing technical findings identified by US Federal Regulators or UK regulators (PRA), or resulting from model audits
• Periodic reporting to senior management

Qualifications:

Skills Required

• 5+ years of relevant experience
• A first degree in STEM fields, quantitative finance or econometrics and preferably a Masters or above degree in one of those areas
• Good understanding of quantitative finance, financial engineering, statistics
• Knowledge of financial markets, financial mathematics and a basic fluency in stochastic calculus, statistics
• Strong interpersonal skills in order to interact confidently within Internal Audit and with internal clients
• Knowledge of derivative pricing models across multiple asset classes and wide range of financial products (Equities, Fixed Income, Commodities) industry practice in risk modeling and/or model validation methodologies
• Evidence of prior technical writing, say in form of a published conference paper or a peer-reviewed journal article, where you were the lead person to write the paper or article
• Team player and ability to work seamlessly with team members across regions (Europe, India)

Desired but not required experience

• Artificial Intelligence and Machine Learning (AI/ML) techniques, especially a knowledge of Explainability tests or Explainable AI (XAI), desirable
• Independent Price Verification (IPV) process conducted by Finance, desirable
• Understanding of expectations from the regulations related to Fundamental Review of Trading Books (FRTB) and/or Prudent Valuations (from UK regulations), desirable
• Counterparty credit risk models (CVA or Margin calculations), desirable
• Relevant certifications Series 7, 63, or CFA, FRM, CQF etc. (or certifications in progress), desirable
• Banking Books, like Interest Rate Risk in Banking Books (IRRBB) or Hedge-Accounting, desirable
• Work related to Algorithmic Trading, including order-routing, order-execution (e.g., VWAP/TWAP etc.), auto-hedgers, across Equities or Fixed-Income desirable

Expected base pay rates for the role will be between 75000 and 180000 at the commencement of employment. However, base pay if hired will be determined on an individualized basis and is only part of the total compensation package, which, depending on the position, may also include commission earnings, incentive compensation, discretionary bonuses, other short and long-term incentive packages, and other Morgan Stanley sponsored benefit programs.