Valuation Risk Controller - Structured Rates

  • Competitive
  • London, England, United Kingdom London England GB
  • Permanent, Full time
  • Morgan Stanley
  • 19 Mar 18 2018-03-19

See job description for details

C o mpany Profile

Mo r g a n S ta n l e y i s a l e a d i ng g l o bal f i nan c i al s e rv i c e s f i r m p r o vi d i ng a w i de r a nge of i n v e s t m ent ban k i n g, s e c u r i t i e s , i n v e s t m ent m anage m ent and w e a l t h m anage m ent s e r vi c e s . T he F i r m 's e m p l o y e es s e r v e cl i e n ts w o rl d w i de i n c l u d i n g c o r po r at i on s , g o v e r n m ents and i n d i vi d u a l s f r o m m o r e than 1,2 0 0 o ff i c es i n 4 3 c o u nt r i e s .

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.

Department Profile

The Finance Division reports to the Chief Financial Officer and consists of some 3,000 employees worldwide. Finance protects the Morgan Stanley franchise by serving as guardian of the Firm’s books and records and by contributing to firm wide risk management and risk reduction. This division maintains relationships with Morgan Stanley’s various industry and government regulators and also serves as the conduit of financial information to the outside investment community. Finance plays a critical role as advisor to Morgan Stanley’s various businesses and its senior management team.

Team Profile

The Morgan Stanley Valuation Review Group (VRG) provides an independent valuation opinion across the entire spectrum of financial instruments within the Firm's sales and trading inventory and proprietary investment portfolio, ranging from vanilla products to the most complex structured and derivative transactions. The team leverages its diverse quantitative skill set and intimate 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 team is mandated to perform an independent valuation assessment on the diverse range of financial products. This process involves the certification of models and their valuation methodologies, 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.

The team is also involved in the continuous enhancements of the valuation control infrastructure with a view towards global and cross-product standardization.

Primary Responsibilities

The position is for a valuation risk controller to work within the London based EMEA Macro mark review team. The products covered within this role will include linear and nonlinear interest rate and foreign exchange derivatives, hybrids and securities.

The candidate will be part of the Global Macro mark review team working closely with:
- The Model Control Group responsible for the certification of models and valuation methodologies
- Product Control
- Trading Strategists, responsible for developing the models
- Business Unit trading
- Market Risk
- Technology
- Auditors
- Offshore interest rates mark review team

The candidate will be specifically responsible for the following:
- Significant project work focused on developing and implementing prudent valuation and mark review methodologies as well as systems and functionality enhancements
- Production and reporting of the monthly prudent valuation capital charge to ensure valuation uncertainty is appropriately capitalised in accordance with regulatory technical standards
- Production and reporting of the monthly fair value mark review to ensure positions are marked correctly in the firm's books and records. As many of the positions are illiquid, this requires working closely with the business unit, strategists and model control group to develop innovative valuation techniques
- Gain a full understanding of the products traded by the desk and their modelling, marking and valuation adjustment methodologies
- Perform documented reviews of the valuation uncertainty, modelling and parameter valuation/mark review methodologies of significant new transactions for presentation to management
- Mark review and prudent valuation methodology documentation
- Regular contact with product control on a daily basis and in particular during the month end mark review process
- Interaction with the business unit during the monthly mark review process
- Working with senior managers to improve efficiency by challenging processes and procedures


Skills required

- Strong analytical / quantitative and qualitative skills and should have the ability to develop methodologies to capture valuation uncertainty and to challenge valuation methodologies proposed by the business unit:
- The successful candidate will need drive, determination and have an ability to work under pressure and to tight monthly deadlines
- The ability to develop strong internal client relationships
- Excellent academics including a good degree (or equivalent) in a highly numerate subject and good A level (or equivalent) results are required to be able to manage the product technical complexity of this area
- Derivatives knowledge/experience highly beneficial
- They should also have self-confidence, have good communication skills and be a strong team player as it is important to interact successfully with the broader control function and business unit
- Prior work experience within a product control, valuations or market risk function preferred

Skills desired

- Good understanding of how finance and derivative vertical risk systems work.

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.