Director- Quantitative Analysis Group Audit (Internal Audit)

In the Internal Audit division, we provide senior management an objective and independent assessment of the Firm's internal control environment for risk management and governance.

Since 1935, Morgan Stanley is known as a global leader in financial services, always evolving and innovating to better serve our clients and our communities in more than 40 countries around the world.

Morgan Stanley is seeking a Model Risk auditor for its Internal Audit Department (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.

• Secondary Reviews of Quantitative Models and Validations: Review 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), FRTB, 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.
• Liaise with model developers, and model validators of Market Risk, Credit Risk, FRTB and CCAR/PPNR Models teams to provide oversight and guidance on model risk and appropriate usage, controls around model restrictions & limitations, and findings for ongoing performance assessment & testing.
• Excellence in statistics, econometrics, probability theory, stochastic processes, partial differential equations, and numerical analysis, monte carlo simulation, numerical methods, option pricing theory, Interest rate products, term structures, etc.
• 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.
• Carrying out detailed quantitative audit of Market Risk, Capital Charges, Pricing, Valuation model development and validation processes.
• Provide support on Derivative pricing models, Credit Risk models, Market Risk models and 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, MBA in Finance etc. preferably with a first degree in Math, Engineering etc. OR B.Tech from Tier 1 institutes (BITS, IITs, NITs)
• Hands on experience in review/development of Risk, Pricing and Capital Models
• Knowledge of financial markets, financial mathematics and fluency in stochastic calculus, statistics, and Monte Carlo methods.
• Basic Knowledge of financial products (Equities, Fixed Income, Commodities)
• Good written and verbal communication skills
• Strong interpersonal skills in order to interact confidently within Internal Audit and with internal client.