The Centralized Modeling & Analytics (CMA) team within State Street’s Enterprise Risk Management (ERM) organization is looking for an experienced quantitative modeling leader 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 group’s mission of supporting the management of investment portfolio to optimize reward with the desired risk appetite position. He/she will be responsible for:
Leading the development and maintenance (including back-testing and benchmarking) of best in class default and prepayment model for residential mortgage, commercial mortgage and other asset class for both BAU and CCAR stress testing purposes
Streamlining the existing modeling and analytical processes and increasing the pace of execution to meet the needs of portfolio analytics
Leading functional and accurate model implementation by thoroughly reviewing all available documentation, coordinating, and analyzing test results of all model methodology changes
Leading the advancement of proper market calibration methodologies with 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
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 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
Master’s or PhD degree in Financial Engineering, Math, Statistics, or other relevant quantitative fields
8+ years of working experience in quantitative financial modeling, including high proficiency in time series analysis, regression modeling and machine learning techniques
5+ years of practical programming experience in Python and R
5+ years of quantitative modeling experience supporting CCAR stress testing in large, complex financial institutions
Quantitative Risk Management (QRM) experience is preferred
Strong verbal and written communication skills, with ability to articulate ideas, analysis and complex concepts effectively to broad audiences
Good project management skills
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
