Quantitative Analyst

Assistant Vice President, Model RiskState Street Markets ("SSM") is looking for an Assistant Vice President ("AVP") to join the SSM Model Risk team in Boston. SSM Model Risk team provides solutions to SSM business units, including Financing Solutions, FX Sales & Trading, Portfolio Solutions, Global Link, State Street Associates, and Market Surveillance, allowing business units to address Model Risk requirements from internal oversight functions and external regulators.The AVP will collaborate with model owners in execution of Model Risk regulatory requirements for all active and in development quantitative models and will support Model Governance Infrastructure implementation under the supervision of the SSM Model Risk Global Head. The AVP is responsible for multiple facets of the overall project management and execution process, including:Development, review, and documentation of front office models within different SSM business unitsJustifying modeling assumptions and model results to internal model validation groupPreparation and delivery of engagement status updates to key stakeholdersWorkflow management to ensure deliverables are prepared according to their timelinesThe AVP will collaborate with different business lines and engage with internal model validation group.Key Responsibilities:Support model owners in the execution of engagement-specific statistical/financial modeling and analyses, and in preparation of final model deliverablesSupport Markets Risk and Capital Optimization team on capital and liquidity related quantitative analysesAssume a key role in developing customized solutions to perform independent model testing, document the development methodology and implementation process, specifically: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 performanceIdentify key model risks, by stress testing model inputs and parametersDemonstrate 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 effectivenessCollaborate with model owner in designing and implementing suitable and effective model ongoing monitoring plan including performance metrics, thresholds, and escalation planDevelop comprehensive first line of defense documentation including model development, implementation, and ongoing monitoring documentsWork with model owners and developers on updating models to meet requirements from internal model validation groupConduct post-implementation review of SSM proprietary trading algos, including:Review code and strategy changes to make sure they are in line with expectation and in compliance with the FX Global CodeIndependent testing of selected key components of trading algosCommunication with quants and developers to understand strategy changesJustifying modeling assumptions and model results to internal model validation group and external regulatorsPreparation and delivery of engagement status updates to key stakeholdersDesired Skills & Experience:Strong understanding of quantitative analysis methods in relation to financial institutionsAdvanced 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 plusKnowledge of financial markets (security lending, equities and derivatives, FX or electronic trading, etc.) is a plusHigh level understanding of capital and liquidity related regulationsA demonstrated ability to multi-task and operate in a fast-paced, deadline-oriented environmentStrong 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 interestsGraduate degree in a quantitative discipline (Financial Mathematics, Financial Engineering, Mathematics, Statistics, or a related field)3 to 5 years of experience in the model risk field is recommendedSalary Range: $90,000 - $157,500 AnnualThe range quoted above applies to the role in the primary location specified. If the candidate would ultimately work outside of the primary location above, the applicable range could differ.Employees are eligible to participate in State Street's comprehensive benefits program, which includes: our 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 (excluding certain sales roles subject to sales incentive plans); and, eligibility for certain tax advantaged savings plans. State Street Corporation