State Street's Risk Analytics Group
Quantitative Analyst

State Street's Risk Analytics group is seeking candidates to join the Probability of Default Modeling, Loss Given Default Modeling, Operational Risk and Economic Capital Modeling teams. The Risk Analytics Group is part of the Enterprise Risk Management Division. The Group develops and implements quantitative methodologies to measure credit, operational, and other risks at State Street. The methodologies and associated estimates produced by the Risk Analytics Group support a wide variety of risk management functions at State Street including complying with Basel II regulations, allocating capital to business units, and managing risk on an ongoing basis.

JOB DESCRIPTION: Quantitative analysts within the Risk Analytics Group build risk models covering the following major areas: wholesale credit risk, including probability of default, loss given default, exposure measurement, and economic capital; market risk economic capital; operational risk regulatory and economic capital; stable value wrap exposures economic and regulatory capital; and business risk economic capital. Ad hoc assignments in other risk related measurement projects also occur, for example the development of hedge ratio model and support of Comprehensive Capital Assessment Review (CCAR) mandate.

JOB RESPONSIBILITIES: The incumbent is expected to develop quantitative models to measure probabilities of default for State Street's counterparties, loss given default for all facilities, or operational risk. Depending on the interests and background of the incumbent, he/she may specialize in supporting certain aspects of the Group's overall responsibilities. Specific duties include the following:
- Evaluating the pros and cons of alternative modeling methodologies and, in conjunction with senior management, selecting the best approaches for State Street.
- Managing large and complex credit data sets using statistical tools and database technologies.
- Reviewing and applying external studies to inform the appropriate values of credit parameters for State Street.
- Reviewing Basel II regulatory guidance and ensuring that the developed methodologies comply with applicable regulations.
- Developing econometric and statistical models to quantify the probabilities of default, loss given default.
- Developing statistical models to quantify operational and business risks.
- Performing backtesting, sensitivity testing, and stress testing of risk models.
- Utilizing external market data, e.g., credit spreads, to refine and inform credit models.
- Working with credit professionals to gain an understanding of credit markets and to reflect that understanding in the models.
- Writing technical documentation.
- Presenting results of work to senior management.
- Interacting with various internal and external stakeholders including the business areas, Corporate Audit, Model Validation, Finance, and the Federal Reserve Board.
- Working with the information technology group to document business requirements and to ensure methodologies and computationally intensive simulation programs are accurately implemented in production systems.
- Completing ad hoc assignments in the general areas of credit risk management and measurement.


JOB QUALIFICATIONS:
- Advanced degree in finance, economics, statistics, or a related field and 2 to 4 years of relevant work experience (relevant PhD degree can substitute for some or all of the work experience).
- In-depth understanding of multivariate statistics.
- Experience modeling heavy-tailed distributions and knowledge of Extreme Value Theory.
- Experience modeling credit risk for financial institutions.
- Knowledge of a statistical or analytical modeling language such as SAS, Matlab, Stata, or R.
- Experience working with large and complex data sets.
- Strong written and verbal communication skills.
- Good project management skills and a demonstrated ability to work independently on complex projects.
- In-depth understanding of credit risk methodologies (KMV, CreditMetrics, etc.), VaR, and/or other complex financial risk
modeling is highly desirable.
- Knowledge of banking regulations, with particular emphasis on credit-related issues and credit modeling methodologies is desirable.
- Knowledge of operational risk AMA LDA is a plus.

APPLICATION PROCEDURE: To apply go to:
http://bit.ly/TAytPI and search for job #75194 in the USA opportunities section.