Senior Quantitative Analyst (State Street Bank and Trust Company; Boston, Massachusetts ): will be part of State Street's Model Validation Group (MVG). MVG is part of the broader Model Risk Management function that is responsible for the identification, measurement, and mitigation of model risk across the global enterprise. The Quantitative Analyst will be guided by Senior Quantitative Analysts who lead model reviews, focusing on models used to make business and operating decisions. These models are in the following general areas: wholesale credit risk (e.g., probability of default, loss given default); market risk (e.g., daily value at risk pricing models and ALM risk); securities finance; asset management, and operational risk. Specific duties include: Assessing model theory and model assumptions as well as considering model methods and potential options; testing and confirming model results by using documented procedures for running the model(s); reviewing code documentation for proper model implementation, including the possible simulation of results; working with data validation members and information technology professionals to determine model data integrity; responsible for managing the Quantitative Analyst's model review and for meeting model review deadlines and deliverables; performing model validation processes and performing independent model validation of significant models; assessing the stability and robustness of models by conducting backtesting, sensitivity testing, and stress testing; and making recommendations and suggesting improvements related to the applicability of different models assessed in meeting their objectives.
Minimum requirements are: PhD in Finance, Economics, Mathematics, Statistics, or related field; and 5 years of quantitative work experience in a Financial Services Firm.
Alternate requirements are: Master's in Finance, Economics, Mathematics, Statistics, or other quantitative discipline; and 7 years of relevant quantitative work experience in Financial Services.
Must have: Total years of experience must include at least 3 years of experience in a model validation or model development. Demonstrated experience with quantitative modeling, analytical, research, programming and financial data platforms (R, SAS, Matlab, SQL, VBA, Stata or C++, Bloomberg); demonstrated knowledge and hands-on experience with Quantitative Risk Management (QRM) balance-sheet management model; demonstrated knowledge of mathematical finance (such as stochastic calculus, PDE, or Monte Carlo Simulation); proven knowledge of financial markets and products; proven experience in developing or validating credit risk models (PD, LGD, EAD and Counter Party Credit Risk), portfolio credit risk measurement (credit regulatory and economic capital); proven knowledge of structured securities (MBS, ABS, CMBS, etc) and experience in developing or validating their behavioral models; proven experience in developing or validating pre-provision net revenue models (PPNR); proven familiarity with quantitative risk management methodologies including VaR and stress testing; demonstrated sound understanding of standardized and advanced RWA calculation and CCAR; demonstrated project management skills, with the ability to work independently on multiple tasks and/or projects; demonstrated communication skills, both verbal and written; demonstrated experience with training and coaching junior quants; demonstrated ability to manage model review and for meeting model review deadlines and deliverables; and demonstrated ability to take initiative. (Unless otherwise indicated, State Street is seeking the ability in the skills listed above with no specific amount of years of experience required. All experience can be gained concurrently).
A pply online at statestreet.com/careers . State Street Job ID: R-640680 . An EOE.