Job Description

BACKGROUND

The Centralized Modeling & Analytics (CMA) team within State Streets Enterprise Risk Management (ERM) organization is looking for an experienced quantitative analyst to join our team in Boston, MA.

The CMA organization provides analytics based services and solutions to business units across State Street. Our mission is to create value through data driven solutions enabling State Street and our business partners to make timely and informed decisions.

POSITION PRIMARY DUTIES AND RESPONSIBILITIES

This position will be a key contributor to realization of the Centralized Modeling and Analytics groups mission of managing the QRM model infrastructure used to optimize reward with the desired risk appetite position. He/she will be responsible for:

* Developing and driving best in class mortgage and other asset class prepayment modeling
* Ensuring proper modeling of asset products within the QRM asset/liability management system and serve as the subject matter expert by developing a deep understanding of all QRM model data, uses cases, and changes that may impact downstream use cases
* Ensuring functional and accurate model implementation by thoroughly reviewing all available documentation, coordinating, and analyzing test results of all model methodology changes made to the QRM framework
* Performing all aspects related to model change control governance. This includes authoring appropriate test cases, test applications, procedures and controls, implementation writeups with supporting evidence, model validation tests and submissions, and project management activities that ensure all initiatives and enhancements are properly controlled, resourced and on track
* Advancing proper market calibration methodologies used by QRM in respect to interest rates, spreads, and volatility
* Overseeing and monitoring of complex quantitative and statistical methodologies on yield curve dynamics and assist with the corporate interest rate forecast
* Developing and maintaining a loan prepayment back-testing function with appropriate governance
* Working collaboratively across the three lines of defense to ensure the appropriate product modeling parameters and characteristics are captured, reviewed, and challenged
* Serving as the representative on product analysis and modeling with model risk oversight, regulatory agencies, and internal oversight functions

Additionally, the position will also:

* Work closely with model owners, users, senior management and other business units to understand the business needs and conditions and determine the analytical tools and data needed
* Conduct complex financial modeling used to derive sound assumption sets
* Be able to blend rigorous quantitative analysis with qualitative insights from business units
* Apply knowledge and skills in handling complex problems and/or coordinating work which may extend beyond own area of expertise; share expertise with colleagues and other departments

REQUIREMENTS

* Masters degree in Financial Engineering, Math, Statistics, or other relevant quantitative fields. High proficiency in time series analysis and financial modeling
* 3-5 years of ALM, Funds Transfer pricing, or quantitative experience in large, complex financial institutions, with demonstrated use of a variety of mathematical/application tools to perform appropriate analysis and to refine computer modeling applications
* 3-5 years of working directly with QRM analytical framework and the Management Repository strongly preferred
* 2-5 years of programming experience in Python and R preferred
* Strong verbal and written communication skills, with ability to articulate ideas, analysis and complex concepts effectively to broad audiences
* A 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
* Competence and confidence to gain credibility and collaborate for success across the organization