Quantitative Analyst, AVP

Overview:
The Centralized Modeling & Analytics (CMA) team within State Street's Enterprise Risk Management (ERM) organization is looking for an experienced quantitative analyst to join our team in Boston, MA.

Centralized Modeling and Analytics is responsible for in depth quantitative modeling that represents the complex interaction of global markets, customer behavior, and regulatory oversight in coordination with business partners across business units, including Asset/Liability Management (ALM), Chief Investment Office, Finance, Global Treasury Risk Management, Model Risk Management, Global Liquidity Management, and Capital Management. The group supports key risk management and regulatory initiatives including, Interest Rate Risk, Credit Spread Risk, CCAR, ICAAP, liquidity stress testing, and investment & balance sheet strategy.

Position Primary Duties and Responsibilities:
The successful candidate will have a primary focus on projects related to quantitative analysis on interest rate risk and credit spread risk of the Banking Book. This role will:

• Build and enhance models or risk analytics on interest rate risk and credit spread risk of the Banking Book, including the mark to market risk of the investment portfolio, as well as interest rate risk, credit spread risk, VaR or economical capital modeling at the balance sheet level, which includes various asses classes (RMBS, CMBS, ABS, sovereign bonds, corporate bonds etc.), deposits, derivatives, etc., across major and minor currencies and adapt to regulatory requirements.
• Engage in the whole life cycle of model development including extracting, analyzing and cleaning the data, performing statistical, probability, time series analysis or simulation techniques, producing reporting tools/packages to assist visualization of results, model implementation, documentation and providing periodical maintenance and ongoing monitoring
• Provide timely quantitative analytical support for Global Treasury ALM team and Chief Investment Office in terms of interest rate forecasting and portfolio investment decisions.
• Provide analytical support on the modeling of the investment portfolio in terms of prepayment default, interest rate and credit spread assumptions, ensure the portfolio positions and market data such as yield curve and volatility are modeled properly within QRM
• Support development, enhancement, and implementation of the deposit modeling
• Present methodologies, procedures, models and results to different audiences and in different formats
• Provide feedback and guidance on methodologies, techniques, codes, models and tools to ensure alignment with internal and regulatory guidelines

Qualification and Skills:

• Masters' or PhD in Economics, Statistics, Mathematics, Risk Management or related field
• 3+ years of working experience in quantitative modeling as a key contributor
• Hands-on experience with fixed income securities modeling, VaR or economic capital modeling
• Advanced knowledge of data analysis and management, statistics, probability and simulation modeling
• Knowledge of prepayment and default modeling of fixed income securities
• Proficiency with the programming language: Python, R, SQL, and MS Office software: Excel, Access, Word, Power Point
• Interesting rate modeling and experience with QRM preferred
• Working understanding of various regulations such as CCAR, Stress Testing and ICAAP is a plus
• 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 audience
• Professional designations (CFA, FRM) preferred but not required