Quantitative Analyst (State Street Bank and Trust Company; Boston, MA): The Quantitative Analyst will be part of State Street Treasurys Treasury Quantitative Analytics (TQA) group. TQA is responsible for developing/implementing/monitoring advanced financial models that are used in companys capital management, liquidity management, investment portfolio construction, and balance sheet optimization. The group is accountable for in-depth understanding, modeling, and representation of the complex interaction of global markets, customer behaviors, and regulatory oversights to create a view of risk/revenue opportunities and exposures to the investment committee, Board of Directors, senior management, and regulatory agencies. The Quantitative Analyst role is a key contributor to the realization of the GTs mission of optimizing net interest income within the desired risk appetite position. Specific responsibilities include: apply advanced statistical techniques to analyze the characteristics of the banks liabilities (including deposit balance forecast, deposit attrition rate and deposit pricing), using time-series analysis, survival analysis, and non-parametric regressions; experience with machine learning techniques such as principal component analysis, regression trees, and non-linear models; conduct in-depth quantitative analysis on how macroeconomic changes impact the banks balance sheet positions and understand the interest rate risks of the bank in different economic cycles; apply solid knowledge of CCAR, DFAST, and Basel regulations and developed stress testing models to quantify capital and liquidity risks; create and maintain model documentation that meets corporate model risk standards including model development and implementation papers; ensure proper ongoing monitoring of model performance including back-testing and performance reviews; and work closely with key business partners and senior management to understand the business needs and conditions and determine the analytical tools and data needed; serve as the subject matter experts on product analysis and modeling with regulatory agencies and internal oversight functions.
Minimum requirements: Masters degree in Econometrics, Mathematics, Statistics, or a related quantitative field plus 2 years of quantitative modeling experience including at least one year in a large, complex financial institution with a broad exposure to all lines of businesses of a custodial bank.
Must have: demonstrated experience modeling complex financial concepts using non-linear, error correction, survival, and time-series models, Monte Carlo simulations and unsupervised and supervised machine learning, and other advanced quantitative techniques; proven knowledge of liquidity and capital stress testing, CCAR, and deposit modeling experience required; proven solid ability working with large and complex data sets including relational databases and complex queries using both SQL Server and My SQL; demonstrated proficiency in R/SAS/Matlab coding and working knowledge of Excel VBA, Eviews, python, and Cloudera Data Science Workbench; deep and broad understanding of all kinds of financial instruments like loans and deposits, as well as derivatives like options and futures; CFA candidates desired; demonstrated strong written and verbal communication skills and ability to present material to various audiences including upper management and regulators; and proven ability to take initiative, adapt and learn quickly, and be a self-starter. (Unless otherwise indicated, State Street is seeking the ability in the skills listed above with no specific amount of experience required. All experience can be gained concurrently).
State Street Job ID: R-631048. To apply to this position, visit . To locate this position in our application page, please use the KEYWORD search functionality and insert either the State Street Job ID or the Location.
#LI-DNIPosted 6 Days AgoFull timeR-631048
Across the globe, institutional investors rely on us to help them manage risk, respond to challenges, and drive performance and profitability. We keep our clients at the heart of everything we do, and smart, engaged employees are essential to our continued success.
Our promise to maintain an environment where every employee feels valued and able to meet their full potential infuses our company values. Its also part of our commitment to inclusion, development and engagement, and corporate social responsibility. Youll have tools to help balance your professional and personal life, paid volunteer days, and access to employee networks that help you stay connected to what matters to you. Join us.
As an Affirmative Action/Equal Opportunity Employer, we consider applications for all positions without regard to race, creed, color, religion, national origin, ancestry, ethnicity, age, disability, genetic information, sex, sexual orientation, gender, gender identity or expression, citizenship, marital status, domestic partnership or civil union status, familial status, military and veteran status, and other characteristics protected by applicable law. For more information, for U.S. jobs only, please read our .