We are currently looking for
Senior Model Controller in Securitized
Products Risk Calculation Technology
for our Budapest Office
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 Valuation Review Group (VRG)
The Morgan Stanley Valuation Review Group, as part of the firm’s Finance organization, provides an independent valuation control service across the entire spectrum of financial instruments within the firm's sales and trading inventory. Products range from plain-vanilla to the most complex structured derivative transactions, secured financing transactions, CVA/DVA/FVA. The team leverages its diverse quantitative skill set and product expertise to act as a guardian and approver of valuation methodology. The group's key clients are senior trading management and senior Finance management.
The Model Control team within VRG certifies that the Position Valuation and Risk Models (PVRMs), developed by strategists and used to value and generate risk measures, are compliant with Firm model control standards.
The function of Model Control team includes:
- Model Certification: Certification of models and their valuation methodologies prior to their use. This involves testing for adherence to such methodologies, evaluating internal valuation marks against external benchmarks, identification and resolution of valuation discrepancies, and communicating a valuation assessment to senior management.
- Model Application Review: Complex transaction review and analysis.
- Model Policy Governance: Representing Finance in the firm’s model control steering committee.
- Technical advisory: Providing technical advisory to Finance and the VRG valuation review line team.
- Verifying that the valuation methodology based on the Model is appropriate
- Verifying that the Model inputs and the valuations produced by the Model are consistent with accounting standards
- Verifying that the Model is adequate to perform mark review in compliance with the documented valuation methodology
- Approving the Model
- Experience across multiple asset classes (RMBS, CMBS, CLO, Agency ) and with knowledge of Securitized Products modeling especially in collateral prepayment, default, and loss severity modeling
- Strong inter-personal skills in order to interact confidently with Business Unit, Trading Strategists, Finance senior management, and the Market Risk Department
- The ability to challenge the valuation methodologies proposed by the Business Unit quantitative strategists and the ability to work under pressure to tight deadlines
- The ideal candidate will possess at least 3 years working experience with proficiency in the theory and application of securitized products modeling.
- Strong academics required with preference for an advanced degree in a quantitative discipline: e.g. financial engineering, statistics, mathematics, physics, or engineering
If you are interested in the above opportunity, please apply via the link belowby submitting your English CV.
For further information please visit: Link megjelenítése