Job Description

Job Description

State Street Corporation's Model Risk Analytics and Validation Group (MVG) is recruiting for Quantitative Analysts with a Bank Title of Assistant Vice President. MVG is part of the broader Model Risk Management function that is responsible for the identification, measurement, and mitigation of model risk across the global enterprise.

The work of Quantitative Analysts will be guided by Senior Quantitative Analysts who lead model reviews. MVG's review work is focused on models used to make business and operating decisions. These models are in the following general areas: structured products (including ABS, Agency and non-Agency MBS, CBMS, CLO, etc.); wholesale credit risk (e.g., probability of default, loss given default); market risk and asset management.

Specific tasks performed during model reviews include but are not limited to:

* 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.
* Reviewing 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.
* Performing model validation processes and performing independent model validation of significant models.
* Assessing the stability and robustness of models by conducting backtesting, sensitivity testing, and stress testing.
* Making recommendations and suggesting improvements related to the applicability of the different models assessed in meeting their objectives.

JOB QUALIFICATIONS:

* Ph.D. in Finance, Economics, Mathematics, Statistics, and/or other quantitative discipline. Exceptional candidates with a Masters degree and 2+ years of relevant work experience will also be considered.
* Work experience in a Financial Services Firm preferred. Model Validation experience a plus.
* Knowledge of financial markets and products.
* Knowledge of structured securities (MBS, ABS, CMBS, etc) and experience in developing or validating their behavioral models;
* Familiarity with quantitative risk management methodologies including VaR and stress testing;
* Familiarity with asset and liability management models.
* Excellent quantitative modeling, analytical, research, and programming skills (e.g., SAS, Python, Matlab, R, Stata, SQL, VBA, and/or C++) required. Familiarity with industry standard tools, like INTEX or TREPP.
* Strong communication skills both verbal and written.
* Good project management skills, with the ability to work independently on multiple tasks and/or projects.
* The candidate must be able to take initiative and meet deadlines.