Model Validation, Senior Quantitative Analyst
Model Validation, Senior Quantitative Analyst
The Model Validation, Senior Quantitative Analyst will participate in the review of models in an effort to identify and minimize State Street's exposure to model risk. In this role the Senior Quantitative Analyst will review the model documentation and then test various components of a model using advanced skills in Economics, Finance, and/or Math so that a definitive conclusion can be reached about the soundness of model; and then communicate (both written and verbally) the findings of the model review in a clear fashion to appropriate parties across the Organization.
Model Validation, Senior Quantitative Analyst
The Model Validation, Senior Quantitative Analyst is part of the Corporate Audit Team. The Model Validation, Senior Quantitative Analyst, will participate in the model validation process of significant models employed at State Street with in State Street Global Markets Business Unit. These models could include: FX models, interest rate models, derivative models, credit portfolio management models, cash flow CDO valuation models, capital models, hedging models, etc.
The Model Validation, Senior Quantitative Analyst will participate in model validation to ensure model risks is correctly identified, assessed and captured by:
* Test and confirm model results by using documented procedures for running the model(s).
* Review code documentation for proper model implementation, including the possible simulation of results.
* Review the data source to determine model data integrity.
* Perform model validation processes and performing independent model validation of models.
* Validate models like: Market Risk (QRM Model and Algorithmic models); Credit Risk methodologies (KMV, CreditMetrics, etc.); Interest Rate modeling (short rate models, HJM, BGM, etc.),; VAR, and/or other complex financial risk modeling highly desirable and other models used within the Organization, (ie. Fixed Income, Global Treasury) to ensure the Model Risk does not exist.
* Make recommendations and suggest improvements related to the applicability of the different models assessed in meeting their objectives.
Requirements:
* Advanced degree in Finance, Economics or Math.
* In-depth understanding of methodologies in the following areas: Asset Pricing, Market Risk (QRM Model and Algorithmic); credit risk methodologies (KMV, CreditMetrics, etc.), interest rate modeling (short rate models, HJM, BGM, etc.), equity, derivative, cash flow CDO valuation, capital models, hedging, VAR, and/or other complex financial risk modeling highly desirable.
* Excellent quantitative modeling, analytical, research and programming skills (C++, SAS, Matlab).
* Minimum of 6+ years of related experience in relevant applied modeling techniques.
* Formal modeling experience, a plus.
* Strong communication skills.
* Good project management skills, with the ability to work independently on multiple tasks and/or projects.
* Knowledge of financial markets and products.
* Detail oriented.
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