Model Risk Audit, AVP

State Street Corporation
Boston, USA
Jul 10, 2021
Jul 24, 2021
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Duties and Responsibilities:
As a member of State Street Corporation's Audit Division you will be part of a team where collaboration is encouraged, excellence is rewarded, and diversity is valued. We offer flexible schedules, continuous training, global exposure and multiple opportunities for personal and professional growth. State Street Corporation's Audit is responsible for providing independent, objective assurance and advisory services designed to add value, minimize risk and improve the overall control environment of State Street Corporation and its subsidiaries. Our auditors interact and communicate regularly with executive management and have tremendous insight into all parts of the company's daily operations. Specific duties include:
• Participate in audits pertaining to Treasury, Finance, Asset Management, Securities Financing and Enterprise Risk Management areas. Participate in audits according to a risk-based approach, recommending control improvements that may include operational enhancements or efficiencies and preparing audit reports.
• Test and confirm model results by using documented procedures for running the model(s) in areas of capital planning, liquidity risk, counterparty credit risk, asset liability management, investment management and so on. Review code documentation for proper model implementation, including the possible simulation of results; make recommendations on model risk control improvements related to the applicability of the different models assessed in meeting their objectives
• Display a high degree of professionalism and leadership and possess proficient organizational, analytical and project management skills
• Demonstrate knowledge of financial and operational internal control methodologies and terminologies (e.g. COSO); process and control industry standards; risk management practices and techniques; and internal audit process, technology and tools for planning, design, performance, testing and reporting.
• Maintain a current knowledge of audit industry practices and ensure best practices are always considered. The audit manager will develop a thorough understanding and knowledge base of the company's operations, establish effective business relationships within the company and assist management in the understanding and adaptation of internal control principles.

Education and experience requirement(s):
• Master's degree in Statistic, Financial Engineering, Economics, Finance, Mathematics, or a related quantitative finance field; Ph.D. degree can substitute working experience
  • 3+ years' working experiences in financial risk management areas such as interest rate risk, market risk, liquidity risk, wholesale credit, counterparty credit risk and investment management risk. Model review / validation experience in the above areas is a plus
  • Solid statistical knowledge and excellent quantitative modeling, analytical, research and programming skills (R, Python, SQL, Matlab)
  • Understand the interest rate risk management in the banking book and trading book risk management. Understand the construction of risk metrics such as VaR, SVaR, CVaR, etc.
  • Proven experience in the valuation of fixed-income securities
  • Demonstrated knowledge of financial markets and products; knowledge of security lending business and associated risk management practices is a plus
  • Strong communication skills both verbal and written
  • Good project management skills, with the ability to work independently on multiple tasks and/or projects
  • Professional certifications preferred (e.g. CFA, FRM, CPA)
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