State Street Markets (“SSM”) Model Risk team provides solutions to SSM business units to address Model Risk requirements from internal oversight functions and external regulators.
Requirements
- Advanced programming skills in at least one supported statistical programming environment (Python, R, or MATLAB), with intermediate programming skills in VBA and other languages. Java experience is a plus
- Strong understanding of quantitative analysis methods in relation to financial institutions
- Knowledge of financial markets (securities lending, equities and derivatives, FX or electronic trading, etc.) is a plus
- High level understanding of capital and liquidity related regulations
- Work on AI and GenAI related projects
- Conduct post-implementation review of SSM proprietary trading algos.
- Review code and strategy changes to make sure they are in line with expectation and in compliance of FX Global Code
Responsibilities
- Development, review, and documentation of front office models within different SSM business units
- Justifying modeling assumptions and model results to internal model validation group
- Lead the execution of engagement-specific statistical/financial modeling and analyses, and in preparation of final model deliverables
- Lead on supporting SSM Risk and Capital Optimization team on quantitative analyses related to monitoring, forecasting and remediation of risk and regulatory resources
- Establish, based on class of model considered, appropriate benchmarking and back-testing techniques that would be reflective of the main model’s purpose, horizon required, hedging implications and other important factors that might be relevant for holistic assessment of model performance
- Identify key model risks, by stress testing model inputs and parameters
- Demonstrate the stability of model over a variety of alternate specifications and range of input values which model is expected to operate. Evaluate extreme values for inputs to identify any boundaries of model effectiveness
Other
- Preparation and delivery of engagement status updates to key stakeholders
- Workflow management to ensure deliverables are prepared according to their timelines
- A demonstrated ability to multi-task and operate in a fast-paced, deadline-oriented environment
- Strong verbal and written communication skills, with ability to articulate ideas, analysis and complex concepts effectively to individuals from various backgrounds and ability to facilitate discussions and resolve conflicts between various stakeholders with competing interests
- 5 to 8 years of working experience in model risk field preferred
