Senior Quantitative Analyst (State Street Bank and Trust Company; Boston, Massachusetts ): The Senior Quantitative Analyst will play a senior role in the MVG, focusing on reviews of models used at State Street to make business and operating decisions-most notably regulatory and economic capital models, as well as insuring the implementation of Model Risk Governance Program guidelines and requirements. These models are in the following general areas: credit risk (e.g., probability of default, loss given default, counterparty credit risk, exposure management), trading and market risk (e.g., daily value at risk pricing models, terms structure models, trading algorithms), securities finance, liquidity risk management, asset management and operational risk.
Minimum requirements are: Ph.D. in Finance, Economics, Mathematics, Statistics, or a related quantitative discipline; and 2 years of work experience in a Financial Services Firm on a Model Validation Team or Development Team.
Must have: Demonstrated experience in a Financial Services Firm on a Model Validation Team or Development Team , covering a broad spectrum of areas (e.g., sales and trading, market risk, credit risk, liquidity risk management, securities finance); Demonstrated experience with advanced quantitative modeling, analytical, and econometrics/statistical techniques and models like time-series modeling techniques, PCA, factor models, Bayesian modeling, machine learning and deep learning methods; Proven programming experience with Python, R, Matlab, SAS, Stata, SQL, and VBA; Proven knowledge of financial markets/products (e.g., derivative pricing and hedging, trading strategy/algorithm, interest rate models, VaR models) and economic theories; Strong verbal and written communication skills, being able to articulate complex quantitative concepts/results to senior management effectively; Proven project management skills, with ability to work independently on multiple tasks and/or projects.
A pply online at statestreet.com/careers . State Street Job ID: R-639361 . An EOE.