Quantitative Risk Analyst – Assistant Vice President
| Company | State Street |
|---|---|
| Location | Boston, MA, USA, Stamford, CT, USA |
| Salary | $90000 – $142500 |
| Type | Full-Time |
| Degrees | Master’s, PhD |
| Experience Level | Mid Level, Senior |
Requirements
- Masters’ or PhD in a quantitative discipline (Financial Mathematics, Financial Engineering, Mathematics, Statistics, Computer Science, or a related field). Experience in machine learning is a plus
- Minimum 2-4 years of working experience in financial modeling field as a key contributor
- Demonstrated knowledge and experience developing or validating VaR, PFE and CVA models
- Demonstrated knowledge on derivatives, RMBS and equities pricing/modeling, yield curve building methodology, interest rate modelling
- Advanced programming skills in statistical programming environment Python and SQL are required
- Familiarity with CCAR regulatory frameworks and the corresponding requirements is a plus
- Self-motivated and attention to detail
- 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
- Strong verbal and written communication skills, with ability to articulate ideas, analysis and complex concepts effectively to broad audiences
- Competence and confidence to gain credibility and collaborate for success across the organization
Responsibilities
- Assume a key role in model methodology research, prototyping and determination
- Develop and build out financial models and analytics for the trading business leveraging a wide variety of mathematical and computer science methods and tools
- Advance existing codebase and propose new solutions and improvements
- Document development methodology, quantitative analysis, and implementation process
- Design and implement suitable and effective model ongoing monitoring plan including performance metrics, thresholds, and escalation plan
- Work in close partnership with control functions such as Model Risk Management, Audit, and Financial Regulatory Assurance to ensure appropriate governance and control infrastructure
- Collaborate with business users and IT partners to establish appropriate production processes within the IT infrastructure
- Timely execute CCAR deliverables
- Support regular BAU risk management activities and proactively resolve issues
Preferred Qualifications
- Experience in machine learning is a plus
- Familiarity with CCAR regulatory frameworks and the corresponding requirements is a plus