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Morgan Stanley
Division: Internal Audit
Department: Quant Analysis Group (QAG) Audit - India
Region: Global
Job Level: Vice President
Location: Mumbai (Nirlon Knowledge Park)
Morgan Stanley
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.
The talent and passion of our people is critical to our continued success as a firm. Together, we share four core values rooted in integrity, excellence and strong team ethic:
Morgan Stanley is committed to helping its employees build meaningful careers and we strive to be a place for people to learn, achieve and grow.
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.
The role will reside within the Internal Audit’s– Model Risk Management (Quantitative Analysis Group) audit team in Mumbai. The QAG team is responsible for
Secondary Reviews of Quantitative Models and Validations: Audit the model development, validation methods and procedures of Credit models (Rating, LGD and EAD): analyse conceptual soundness of complex credit risk models and methodologies; assess model behaviour and suitability of credit risk models to business/product type.
- Liaise with model developers, Model Risk Management, and business control teams to provide oversight and guidance on model risk and appropriate usage, controls around model restrictions & limitations, and findings for ongoing performance assessment & testing.
- Keep up with the latest developments in coverage area in terms of products, markets, models, risk management practices and industry standards, and emerging trends in the industry and regulatory landscape.
- Understanding of econometrics, time series models, probability theory, statistics, and stochastic processes to identify the correctness of model methodology. Proven track record of developing or validating credit risk or capital models is required given the level of details and responsibility needed for the position.
- Closure Verification of Regulatory Findings: Verify work performed by the Desk and Model risk management 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.
- Along with above, the qualified person will also be performing people management role, as with time the role will expand to managingteam members in India.
Primary Responsibilities:
- Carrying out detailed quantitative audit of Credit risk and capital models and Market Risk model development and validation processes.
- Provide support to risk analytics and model risk validation team in other Internal Audit engagements.
- 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.
- Master’s or PhD in Mathematics, Financial Engineering, Quantitative Finance etc. preferably with a first degree in Math, Engineering etc.
- Knowledge of financial markets, financial mathematics and fluency in stochastic calculus, statistics, and Monte Carlo methods.
- Basic Knowledge of financial products and credit risk business.
- Excellent written and verbal communication skills and very strong analytical and problem-solving abilities
Strong interpersonal skills to interact confidently within Internal Audit and with internal clients.
Coverage
Periodic evening calls with US and EMEA Internal Auditors and auditees.
“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.”
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