VP of Quantitative Risk Modeling & Analytics

State Street; Boston (MA); On-site; USD 120,000 - 203,000; Full time

Benefits offered by this job

401K with company match

Medical, dental, vision

Paid time off

Employee Assistance Program

Performance-based awards

Job summary

State Street's CMAO team within Enterprise Risk Management is seeking an experienced quantitative analyst to develop and validate models for counterparty credit risk across SSGM portfolios.

You will contribute to model methodology, build analytics, monitor models, and collaborate with Model Risk Management, Audit, and IT to ensure robust governance and compliant production processes. Strong Python/SQL skills and a PhD or Masters in a quantitative field are required.

Qualifications

• Masters’ or PhD in a quantitative discipline (Financial Mathematics, Financial Engineering, Mathematics, Statistics, Computer Science, or a related field). Experience in machine learning is a plus.
• Minimum 8+ years of working experience in financial modeling field as a key contributor.
• Demonstrated knowledge and experience developing or validating VaR, PFE and CVA models.
• Demonstrated knowledge on derivatives, RMBS and equities pricing/modeling, yield curve building methodology, interest rate modelling.
• Advanced programming skills in statistical programming environment Python and SQL are required.
• Familiarity with CCAR regulatory frameworks and the corresponding requirements is a plus.
• Self-motivated and attention to detail.
• 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.
• Strong verbal and written communication skills, with ability to articulate ideas, analysis and complex concepts effectively to broad audiences.
• Competence and confidence to gain credibility and collaborate for success across the organization

Responsibilities

• Assume a key role in model methodology research, prototyping and determination.
• Develop and build out financial models and analytics for the trading business leveraging a wide variety of mathematical and computer science methods and tools.
• Advance existing codebase and propose new solutions and improvements.
• Document development methodology, quantitative analysis, and implementation process.
• Design and implement suitable and effective model ongoing monitoring plan including performance metrics, thresholds, and escalation plan.
• Work in close partnership with control functions such as Model Risk Management, Audit, and Financial Regulatory Assurance to ensure appropriate governance and control infrastructure.
• Collaborate with business users and IT partners to establish appropriate production processes within the IT infrastructure.
• Timely execute CCAR deliverables.
• Support regular BAU risk management activities and proactively resolve issues

Skills

Python

SQL

VaR

PFE

CVA

Derivatives pricing

RMBS pricing

Equities pricing

Yield curve modelling

Interest rate modelling

Model risk awareness

CCAR familiarity

Communication skills

Education

Masters’ or PhD in quantitative discipline

Job description

State Street's CMAO team within Enterprise Risk Management is seeking an experienced quantitative analyst to develop and validate models for counterparty credit risk across SSGM portfolios.

You will contribute to model methodology, build analytics, monitor models, and collaborate with Model Risk Management, Audit, and IT to ensure robust governance and compliant production processes. Strong Python/SQL skills and a PhD or Masters in a quantitative field are required.