State Street Bank and Trust Company is looking to deliver modeling and analytics solutions to business units across the company, focusing on risk initiatives that create value through data-driven solutions to enable timely and informed decisions. The role will involve building and using models to understand the risk profile of State Street’s assets and liabilities under various financial market environments.
Requirements
- Proven knowledge of time series analysis, machine learning, and stochastic calculus
- demonstrated experience with statistical programming environment like Python or MATLAB
- demonstrated experience with SQL, Python, or R
- ability to articulate ideas and analysis to build complex object-oriented programs that handle big data
- hands-on modeling experience for various fixed income products, focusing specifically on credit risk and market risk
- 1 year of demonstrated experience using the QRM modeling application
Responsibilities
- assisting with model methodology research, prototyping and determination
- utilizing hands-on experience in building models for various structured and non-structured securities
- utilizing and enhancing quantitative and analytical approaches to achieve risk excellence and meet the standards of both internal and regulatory guidelines
- evaluating the models and approaches of third-party vendors for these risks, as necessary
- designing and implementing suitable and effective model monitoring plan including performance metrics, thresholds, and implementation process
- ensuring proper modeling of asset products within the Quantitative Risk 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
- advancing proper market calibration methodologies used by QRM in respect to interest rates, spreads, and volatility
Other
- Master’s degree or its equivalent in Financial Engineering, Engineering, Mathematics, Statistics, or a related quantitative field plus 3 years of experience in financial modeling or any occupation/title in which financial modeling experience is gained.
- Hybrid-remote telecommuting permitted pursuant to Company policy.
- Proven verbal and written communication skills
- collaborating with colleagues, business partners, control functions and other relevant areas of the bank to incorporate regulatory capital constraints and potential policy impacts on investment strategy and allocation decisions
- supporting risk management activities and proactively resolve issues
