Model Risk Analyst - Credit Risk Models at Morgan Stanley

Budapest, Central Hungary, Hungary -

Full Time

Start Date

Immediate

Expiry Date

21 Jan, 26

Salary

0.0

Posted On

23 Oct, 25

Experience

0 year(s) or above

Remote Job

Yes

Telecommute

Yes

Sponsor Visa

Skills

Model Validation, Credit Risk Models, Statistical Methods, Econometric Methods, Programming, Python, Communication, Collaboration, Regulatory Requirements, Quantitative Modelling, Risk Management, Benchmark Models, Validation Reports, Stakeholder Engagement, Problem Solving, Analytical Thinking

Industry

Financial Services

Description

Conduct model validation for lending stress loss and provisioning (CECL, IFRS9) space by challenging model assumptions, mathematical formulation, and implementation Conduct independent testing and build benchmark models to assess model accuracy and robustness under different scenarios and market conditions Assess and quantify model risks due to model limitations and develop compensating controls Develop high-quality validation reports highlighting risks and limitations of models and communicate findings to stakeholders, senior management Collaborate with Global MRM teams, Developers, Model Control Officers, Valuation Control and Risk Managers to manage model risk across the model lifecycle Cultivate and manage effective relationships with regulators by providing accurate and timely submissions Master's or Ph.D. degree in Mathematics, Mathematical Finance, Physics, Engineering, Finance, Economics or a related quantitative field Passion for applying advanced econometric and statistical methods to real-life datasets 0-4 years of relevant model risk management and/or quantitative modelling experience. The ideal candidate will have experience with credit risk models, such as models used for forecasting portfolio-level losses for Wholesale Lending or Advanced IRB (PD, LGD, EAD) models Familiarity with relevant regulatory requirements for credit risk is a plus Experience with or interest in learning programming in a high-level language such as Python The ability to effectively communicate with a wide range of stakeholders, both written and verbal An interest in working in a fast-paced environment, often balancing multiple high priority deliverables Clear thinking, good business sense and judgment, proactive and collaborative attitude Our values - putting clients first, doing the right thing, leading with exceptional ideas, committing to diversity and inclusion, and giving back - aren't just beliefs, they guide the decisions we make every day to do what's best for our clients, communities and more than 80,000 employees in 1,200 offices across 42 countries. Our teams are relentless collaborators and creative thinkers, fueled by their diverse backgrounds and experiences. We are proud to support our employees and their families at every point along their work-life journey, offering some of the most attractive and comprehensive employee benefits and perks in the industry. There's also ample opportunity to move about the business for those who show passion and grit in their work. To learn more about our offices across the globe, please copy and paste https://www.morganstanley.com/about-us/global-offices into your browser. If this role is deemed a Certified role and may require the role holder to hold mandatory regulatory qualifications or the minimum qualifications to meet internal company benchmarks. Flexible work statement Interested in flexible working opportunities? Speak to our recruitment team to find out more. We work to provide a supportive and inclusive environment where all individuals can maximize 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.

Responsibilities

Conduct model validation for lending stress loss and provisioning by challenging model assumptions and conducting independent testing. Collaborate with various teams to manage model risk and develop high-quality validation reports for stakeholders.