State Street Corporation (Boston, MA)
Quantitative Analysts, Model Validation Group

State Street is a global company with approximately 28,000 employees and is growing its Model Validation Group (MVG). MVG is part of the Enterprise Risk Management (ERM) division. ERM is responsible for providing risk management services for all business covering the areas of credit risk, market risk, operational risk, and asset management. MVG runs the Model Risk Governance Program, which supports and implements the Model Risk Governance Policy for mitigating model risk.

JOB DESCRIPTION: Currently, we have both Quantitative Analyst and Senior Quantitative Analyst positions available. Quantitative Analysts participate in model validation to ensure model risks are correctly identified, assessed, and captured. Senior Quantitative Analysts lead model reviews and offer guidance to Quantitative Analysts. MVG's review work is focused on models used to make business and operating decisions. These models are in the following general areas: wholesale credit risk (e.g., probability of default, loss given default, exposure measurement, and loan loss reserving); market risk (e.g., daily value at risk pricing models, counterparty credit risk, ALM risk, and terms structure models); and operational risk.

Specific tasks performed during model reviews include:
- Assessing model theory and assumptions, as well as considering modeling methods and alternate options.
- Testing and confirming model results by using documented procedures for running models.
- Reviewing code documentation for proper model implementation, including the possible simulation of results.
- Working with data validation members and information technology professionals to determine model data integrity.
- Performing independent validation of significant models by conducting backtesting, sensitivity testing, and stress testing of models.
Presenting results of model validation work to senior management and making recommendations for improvements.

JOB QUALIFICATIONS:
- PhD in Finance, Economics, Statistics, Math, or related field
- Senior positions require 5-6 years of work experience in a financial services firm on a model validation team
- Familiarity of quantitative risk management methodologies including VaR and stress testing
- Excellent quantitative modeling, analytical, research, and programming skills (e.g. C++, SAS, Matlab)
- Strong written and verbal communication skills
- Good project management skills, with the ability to work independently on multiple tasks and/or projects, and meet deadlines

APPLICATION PROCEDURE: Qualified candidates can apply by emailing their resumes to OCheo@StateStreet.com



Posted 6/25/12