Hungary Job Openings
Morgan Stanley
Non-Financial Risk DATA SCIENTIST Associate
Budapest
FULL TIME
August 16, 2024
3257543
- Develop and maintain the capital planning models to satisfy various regulatory and internal risk management requirements (Basel/CCAR/ICAAP/Quarterly Stress Tests). This requires thorough knowledge of statistical analysis of financial data and a good understanding of the various macroeconomic or market factors that impact the evaluation of operational risk.
- Support internal operational risk management by deriving actionable insights from data and leveraging quantitative and statistical techniques such as Generalized Linear Models, extreme value theory (EVT), Va R models and time series analysis.
- Write high-quality model documentation compliant with the firm's internal model governance policy, audit requirements, and the industry regulation (e.g., FRB, OCC, ECB and PRA).
- Closely work with stakeholders to provide regular ongoing model performance assessments, perform periodical production runs, review analysis results with senior management and provide recommendations.
- Support dashboard building and any other automation efforts.
- Bachelor or Master's degree in a quantitative discipline (e.g., statistics, financial engineering, physics, mathematics, economics)
- Statistical skills such as regressions, and simulations.
- Familiarity with mainstream data processing and modeling programming languages (Python is preferred, R and Matlab)
- Team player with strong interpersonal and communication skills
- Familiarity with Basel capital and Stress capital model framework (preferred)
- Hands-on experience with regulatory capital model development practice in large financial institutions (preferred)
Morgan Stanley is a global financial services firm and a market leader in investment banking, securities, investment management and wealth management services.
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