Senior VP, Quantitative Risk Analytics

State Street; Stamford (CT); On-site; USD 120,000 - 203,000; Full time

Benefits offered by this job

401K match

Insurance: medical, dental, vision, LT

Paid time off

Employee Assistance Program

Job summary

State Street is seeking an experienced quantitative analyst to join the Centralized Modeling & Analytics and Operations (CMAO) team within Enterprise Risk Management. The role focuses on developing models and analytics to assess counterparty credit risk for SSGM and related financing solutions, derivatives, and asset classes.

You will prototype methodologies, advance the codebase, monitor model performance, and ensure governance with Model Risk Management and CCAR deliverables.

Qualifications

• Masters’ or PhD in a quantitative discipline (Financial Mathematics, Financial Engineering, Mathematics, Statistics, Computer Science, or related). Machine learning is a plus.
• Minimum 8+ years of working experience in financial modeling as a key contributor.
• Experience developing or validating VaR, PFE and CVA models.
• Knowledge of derivatives, RMBS and equities pricing/modeling, yield curve building, and interest rate modelling.
• Advanced programming skills in Python and SQL.

Responsibilities

• Model methodology research, prototyping and determination.
• Develop and build financial models and analytics for trading using various math and CS methods.
• Advance codebase and propose new solutions and improvements.
• Document methodology, analysis, and implementation process.
• Design model monitoring with performance metrics, thresholds, and escalation plans.
• Collaborate with Model Risk Management, Audit and Financial Regulatory Assurance for governance.
• Partner with IT to establish production processes in the IT infrastructure.
• Timely execute CCAR deliverables.
• Support regular BAU risk management activities and resolve issues.

Skills

Python

SQL

VaR modeling

PFE modeling

CVA modeling

Derivatives pricing

Risk management

Communication skills

Education

Masters or PhD in a quantitative discipline

Job description

State Street is seeking an experienced quantitative analyst to join the Centralized Modeling & Analytics and Operations (CMAO) team within Enterprise Risk Management. The role focuses on developing models and analytics to assess counterparty credit risk for SSGM and related financing solutions, derivatives, and asset classes.

You will prototype methodologies, advance the codebase, monitor model performance, and ensure governance with Model Risk Management and CCAR deliverables.