SAS Developer, Quantitative Team
- Location: Kraków, Malopolskie, Poland
- Salary: Competitive
- Job Type: Full time
SAS Developer, Quantitative TeamDeveloper - Global Treasury Risk Management Model Development
Our bank is the world's leading provider of financial services to institutional investors including investment servicing, investment management and investment research and trading. With $28.19 trillion in assets under custody and administration and $2.45 trillion in assets under management as of December 31, 2014, the bank operates globally in more than 100 geographic markets and employs 29,970 worldwide.
The goal of Risk Management Team is to ensure that State Street's risks are proactively identified, well-understood, and prudently managed in support of our business strategy. As such, ERM provides risk oversight, support, and coordination to ensure consistent identification, measurement and management of all risks possible in providing products and services to our clients.
Global Treasury Risk Management (GTRM) acts as the business-aligned risk function focused on these responsibilities for the activities of the Global Treasury (GT) department, inclusive of the Credit Risk Management team.
The GTRM team is responsible for the portfolio credit risk oversight and control of the global investment portfolio, including other-than-temporary-impairment assessment, bottom-up stress tests, credit risk measurement and analytics, concentration risk measurement and monitoring, portfolio credit limits monitoring and approval/exception analysis, SFA/SSFA modeling, as well as various regulatory and management reporting.
Support the US team to conduct model implementation and framework development activities for investment portfolio exposures that are compliant with regulatory and internal Model Risk Management guidelines:
- Cooperation with the quantitative team during preparation and testing of model implementation.
- Responsible for creating the production code.
- Preparation of technical documentation and the implementation plan.
- Cooperation with Model Risk Management during model validation stage. Incorporation of suggested remediation actions.
- Support the US team in providing relevant risk reporting and analytics
- Presentation of the results during workshops with business counterparties and senior management.
- Previous experience in code development at production level.
- Master degree with strong technical skills (e.g. Statistics, Econometrics, Mathematics, Computer Science or Engineering).
- 3+ years of programming experience with SAS, R, Matlab, SQL, and Python.
- Good communication skills (verbal and written in English).
- Ability to execute on competing priorities in a timely manner.