Quantitative Analyst, Model Development

Employer
State Street (Europe)
Location
Kraków, Poland
Salary
Competitive
Posted
Jun 26, 2019
Closes
Jul 18, 2019
Ref
6041487
Job Function
Other
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Our bank is the world's leading provider of financial services to institutional investors including investment servicing, investment management and investment research and trading. With $28.19 trillion in assets under custody and administration and $2.45 trillion in assets under management as of December 31, 2014, the bank operates globally in more than 100 geographic markets and employs 29,970 worldwide.
We're a company that insists on, and rewards, performance excellence. We know our success hinges on attracting the best people to join us - people like you.

JOB DESCRIPTION:
Model Development Quantitative Analyst, Officer will report to the Head of Model Development in Poland, and will be responsible of supporting the US team to conduct model development activities within existing ERM department. The Poland team will cover the models used at State Street to make business and operating decisions-most notably regulatory and economic capital models. These models are in areas including wholesale credit risk (e.g., probability of default, loss given default, exposure measurement, and loan loss reserving; counterparty credit risk; operational risk.

JOB QUALIFICATIONS:
  • Support the US team to conduct model development activities and ensure model risks are correctly identified, assessed, and captured:
  • Assessing model theory and model assumptions as well as considering model methods and potential options.
  • Testing and confirming model results by using documented procedures for running the model(s).
  • Writing the code documentation for proper model implementation.
  • Working with model validation team members and information technology professionals to determine model risk and integrity.
  • Assessing the stability and robustness of models by conducting backtesting, sensitivity testing, and stress testing.
  • Ensure compliance with the State Street quality requirements for model risk.
  • Deliver the model results on regular meetings with business experts.

JOB REQUIREMENTS:
  • At least 2 years of experience in roles related to quantitative finance or quantitative research (model validation, model development, model audit, ALM, etc.), including model documentation and implementation; exposure to regulatory concerns a plus
  • PhD in related disciplines or Master degree with extensive business knowledge and strong technical skills (e.g. Statistics, Econometrics, Mathematics, Computer Science or Engineering); CFA, FRM or PRM designation a plus
  • Excellent coding skills with experience in R, Python, Matlab, C++, SAS and/or SQL. Experience with distributed computing is a plus.
  • High proficiency in the use of standard MS Office software: Excel, Access, Word, Power Point
  • Advanced knowledge of data analysis and management, calculus, statistics, probability and simulation modeling
  • Strong verbal and written communication skills, with ability to articulate effectively ideas and analysis to senior management
  • Hands-on and results oriented, willingness to work in a position with uneven and high priority project work
  • Willingness and ability to master concepts quickly
  • Ability to gain trust and respect of business partners