Quantitative Analyst Quantitative Analyst …

State Street Corporation
in Boston, MA, United States
Permanent, Full time
Last application, 09 Apr 21
Competitive
State Street Corporation
in Boston, MA, United States
Permanent, Full time
Last application, 09 Apr 21
Competitive
State Street Corporation
Quantitative Analyst
Quantitative Analyst (State Street Bank and Trust Company; Boston, Massachusetts ): The Quantitative Analyst will play a critical role within State Street's Model Validation Group ("MVG") which is responsible for the identification, measurement, and mitigation of model risk across the global enterprise. MVG's review work is focused on models used to make business and operating decisions most notably regulatory, economic capital and stress testing models. These models are in the following general areas: wholesale credit risk (e.g., probability of default, loss given default); trading and market risk (e.g., daily value at risk pricing models, interest rates, FX, ALM risk and trading algorithms); securities finance; asset management, liquidity risk management, compliance and operational risk. Specific duties of the position include: assessing model theory and model assumptions as well as considering model methods and alternate options; testing and confirming model results by using documented procedures for running the models; taking a leadership role in developing and executing model validation strategies and performing independent model validation of significant models; reviewing model and code documentation for proper model implementation, including the possible simulation of results; working with data validation members and information technology professionals to assess model data integrity; assessing the stability and robustness of models by conducting back-testing, sensitivity testing, and stress testing; reviewing ongoing monitoring reports and post-validation supporting materials; training and supervising junior MVG members; writing clear and comprehensive validation reports and presenting results to key stakeholders; making recommendations and suggesting improvements to the different models being assessed to improve their performance and reduce model risk; and reviewing and promoting the model risk management guidelines and framework within the firm.

Minimum requirements are: master's degree in Financial Engineering, Finance, Statistics, or a related quantitative discipline; and 2 years of quantitative experience in a financial services firm.

Must have: total experience must include at least 1 year of experience on a model validation team within the financial services industry; demonstrated experience in a Financial Services Firm on a Model Validation Team, covering a broad spectrum of areas (e.g., sales and trading, market risk, credit risk, securities finance); proven programming experience with Python, R, Matlab, SQL and VBA; demonstrated experience with advanced quantitative modeling, econometric/statistical techniques, large data sets, time series analysis, simulation and back-testing; demonstrated knowledge of financial markets and products (e.g. derivative pricing/hedging, interest rate models, FX and equities); strong verbal and written communication skills; and strong project management skills with ability to work independently on multiple tasks and/or projects (Unless otherwise indicated, State Street is seeking the ability in the skills listed above with no specific number of years of experience required. All experience can be gained concurrently.).

A pply online at statestreet.com/careers . State Street Job ID: R-662062 . An EOE.

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Company Overview

From technology and product innovation to corporate responsibility and community development, we're making our mark on the financial services industry. For more than two centuries, we've been helping our clients safeguard and steward the investments of millions of people - strengthening markets, building communities and creating opportunities for growth.

We owe that longevity to the commitment, expertise and creativity of our employees. Our continued success depends on our ability to attract and develop the best talent in the industry. That's why we're keenly focused on employee development, corporate citizenship and inclusion.

For us, success comes in the mark we make as an organization - for the industry, our clients, our communities and each other.

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