Quantitative Analyst, Officer

State Street Markets (“SSM”) is looking for an Officer to join the SSM Model Risk team in Boston. SSM Model Risk team provides solutions to SSM business units, including Financing Solutions, FX Sales & Trading, Portfolio Solutions, Global Link, State Street Associates, and Market Surveillance, allowing business units to address Model Risk requirements from internal oversight functions and external regulators.

The Officer will collaborate with model owner(s) in execution of Model Risk regulatory requirements for all active and in development quantitative models and will support Model Governance Infrastructure implementation under supervision of SSM Model Risk Global Head. The Officer is responsible for multiple facets of the overall project management and execution process, including:

Development, review, and documentation of front office models within different SSM business units

Justifying modeling assumptions and model results to internal model validation group

Preparation and delivery of engagement status updates to key stakeholders

Workflow management to ensure deliverables are prepared according to their timelines

The Officer will collaborate with different business lines, and engage with internal model validation group.

Key Responsibilities Support model owners in the execution of engagement-specific statistical/financial modeling and analyses, and in preparation of final model deliverables

Support Markets Risk and Capital Optimization team on capital and liquidity related quantitative analyses

Assume a key role in developing customized solutions to perform independent model testing, document the development methodology and implementation process, specifically:

Establish, based on class of model considered, appropriate benchmarking and back-testing techniques that would be reflective of the main model’s purpose, horizon required, hedging implications and other important factors that might be relevant for holistic assessment of model performance

Identify key model risks, by stress testing model inputs and parameters

Demonstrate the stability of model over a variety of alternate specifications and range of input values which model is expected to operate. Evaluate extreme values for inputs to identify any boundaries of model effectiveness

Collaborate with model owner in designing and implementing suitable and effective model ongoing monitoring plan including performance metrics, thresholds, and escalation plan Develop comprehensive first line of defense documentation including model development, implementation, and ongoing monitoring documents

Work with model owners and developers on updating models to meet requirements from internal model validation group

Conduct post-implementation review of SSM proprietary trading algos, including:

Review code and strategy changes to make sure they are in line with expectation and in compliance with the FX Global Code Independent testing of selected key components of trading algos

Communication with quants and developers to understand strategy changes

Justifying modeling assumptions and model results to internal model validation group and external regulators

Preparation and delivery of engagement status updates to key stakeholders

Desired Skills & Experience Strong understanding of quantitative analysis methods in relation to financial institutions

Advanced programming skills in at least one supported statistical programming environment (Python, R, or MATLAB), with intermediate programming skills in VBA and other languages. Java experience is a plus Knowledge of financial markets (security lending, equities and derivatives, FX or electronic trading, etc.) is a plus

High level understanding of capital and liquidity related regulationsA demonstrated ability to…