Quantitative Analyst, Model Risk Management (Interest Rates Derivatives) - Vice President
- London, England, United Kingdom London England GB
- Permanent, Full time
- Morgan Stanley
- 21 Aug 18 2018-08-21
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. 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.
The cornerstone of Morgan Stanley's risk management philosophy is the execution of risk-adjusted returns through prudent risk-taking that protects Morgan Stanley's capital base and franchise. Risk Management protects the Firm from exposure to losses resulting from defaults by our lending and trading counterparties.
Model Risk Management is part of the Global Risk Management Department of Morgan Stanley and it has global responsibility for the independent risk control, review and validation of models used by Morgan Stanley. These include derivative pricing models in all product areas (i.e. interest rates, currencies, commodities, equities, credit, and securitized products), as well as models used for electronic trading, counterparty credit risk (CVA/IMM/IRB), market risk, operational risk, and capital and liquidity stress tests.
Model Risk Management professionals are located in New York, London, and Budapest, and they work closely with business quantitative strategists, risk analytics, risk managers and financial controllers. The London team works closely with other members of the Model Risk Management across all model areas globally.
• Review, test and independently implement pricing models, particularly interest rates derivative models
• Produce written model review reports
• Conduct on-demand analyses of model performance
• Participate in the model risk management processes of the Firm
• The ideal candidate should have strong previous experience on interest rates derivative models gained in a similar model validation role
• Masters degree (or equivalent) in Financial Mathematics or a related quantitative field
• In-depth knowledge of mathematical finance, derivative pricing, and numerical techniques
• Ability to program pricing and risk models
• Clear thinking, good business sense and judgment
• Strong interpersonal skills
• Excellent oral and written communication skills
The salary for the role is competitive
The closing date for the role is 05/09/2018
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.