Quantitative Risk, AVP at State Street in Boston, Massachusetts

Job Description:

Overview

Centralized Modeling, Analytics and Operations (CMAO), a team within State Street's Enterprise Risk Management (ERM) department, is looking for an experienced and highly motivated professional with strong quantitative, problem-solving, and communication skills. The primary focus for the position will be to develop quantitative models and tools to measure and monitor the counterparty exposures of the positions in the security finance book and FX trading book under State Street capital market.

Position Duties and Responsibilities

The Quantitative Analyst works closely with State Street's Global Markets (GM) Risk management team to support market data analysis, portfolio analysis, risk methodology development and model implementation, annual CCAR exercise and regulatory reporting. The Quantitative Analyst provides fundamental and quantitative financial analysis related to capital market trading products (various fixed income products, FX and IR derivative trades) pricing, methodologies and risk analysis.

Primary Responsibilities

• Own key models to measure counterparty exposures, which require continuous monitor and improvement.


• Own part of annual CCAR process and quarterly stress test process


• Monitor model performance daily and quickly find a solution to fix model failure.


• Develop and evaluate financial models based on finance fundamentals and market data.


• Analyze business processes to identify data needs for modeling.


• Apply statistical programming skills to analyze market data.


• Prepare precise technical documentation describing processes, pricing and risk methodologies, defend and conduct ongoing monitoring of model performance.

• Work closely with risk managers, MVG, auditors and IT teams for the model development and regulatory report


• Complete ad hoc assignments as needed

• Master's degree or PhD degree in quantitative discipline


• At least 2 years of quantitative modeling experience in a financial institution


• Demonstrated experience with advanced proficient programming skill in Python and databases.


• Demonstrated the pricing and modeling knowledge of broad capital market products such as mortgage, bonds, equities, FX derivatives etc


• Proven solid ability working with large and complex data sets including relational databases and complex queries


• Proven ability to communicate complex concepts to broad audiences, with strong verbal and written communication skills


• Demonstrated ability to work independently on complex projects as well as the ability to be a team player in a fast-paced, high-energy level environment


• Working knowledge of RiskMetrics and CCAR process is a plus


• Ownership mindset is a must

The range quoted above applies to the role in the primary location specified. If the candidate would ultimately work outside of the primary location above, the applicable range could differ.