Quantitative Risk

State Street•Boston, MA

1d•$104,000 - $180,000•Hybrid

About The Position

This role will be part of the CMAO team focused on delivering modeling and analytics solutions to assess counterparty credit risk and market risk managed by State Street Global Markets (“SSGM”). The portfolio supported includes SSGM Financing Solutions including Agency Lending, Prime Services, Alternative Financing Solutions (“AFS”) and Funding and Collateral Transformation ("FaCT"), FX and interest rate derivatives, Eligible Margin Loan in Global Credit Financing (“GCF”) business. The role has significant impact on the BAU risk management as well as the regulatory CCAR requirement through complex deliverables.

Requirements

Master's in financial mathematics, Financial Engineering, Mathematics, Statistics, Computer Science, or a related field and 5 years of working experience in financial modeling field as a key contributor.
4 years of experience with stress testing model development.
3 years of Python programming experience.
Demonstrated ability to collaborate with third-party vendors to integrate, validate and enhance financial risk tools and ensure alignment with internal risk management framework.
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.
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.

Benefits

Retirement savings plan (401K) with company match
Insurance coverage including basic life, medical, dental, vision, long-term disability, and other optional additional coverages
Paid-time off including vacation, sick leave, short term disability, and family care responsibilities
Access to our Employee Assistance Program
Incentive compensation including eligibility for annual performance-based awards
Eligibility for certain tax advantaged savings plans
Inclusive development opportunities
Flexible work-life support
Paid volunteer days
Vibrant employee networks