Valuation Risk Controller - Structured Rates, Manager

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

See job description for details

Company Profile:

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.

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 Structured Rates mark review team.
The products covered within this role will include linear and nonlinear interest rate derivatives and hybrids including, vanilla interest rate swaps, swaptions, constant maturity swaps, constant maturity swap spread options, Bermudans,interest rate/ credit and interest rates/equity hybrids.

The candidate will be part of the Global Rates 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
- Offshore Budapest interest rates mark review team

The candidate will be specifically responsible for the following:
- Production and reporting of the monthly 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 Model Risk quantitative team within
VRG to develop innovative valuation techniques
- Production of the monthly Prudent Valuation Capital Charge
- Gain a full understanding of the products traded by the desk and their marking/valuation adjustment methodologies
- Perform documented reviews of the modelling and parameter mark review methodologies of significant new transactions for presentation to management
- 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
- Project work as required on new systems and functionality enhancements
- Working with senior managers to improve efficiency by challenging processes and procedures


Skills required:

- Strong academics required in a quantitative discipline such as economics, mathematics, physics, engineering or other technical field
- Good understanding of financial markets and products and ability to learn new products.
- Ability to translate complex theoretical problems into smaller problems that can be solved practically
- Strong interpersonal and communication skills
- Strong analytical and problem solving skills
- Solid knowledge of Excel. Programming knowledge is a plus.

The salary of this role is competitive.

The closing date for applications is 23/03/2018

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.