GM Senior Quantitative Analyst,Avp

State Street Global Markets (“SSGM”) is looking for an Assistant Vice President (“AVP”) to join the SSGM Model Risk team in Boston. SSGM Model Risk team provides solutions to SSGM business units, including Securities Finance, FX Sales & Trading, Portfolio Solutions, Global Link, State Street Associates, and Funding and Collateral Transformation ("FaCT"),Global Treasury and State Street Digital, allowing business units to address Model Risk requirements from internal oversight functions and external regulators.

Why this role is important to us The team you will be joining is a part of State Street Global Markets (SSGM). When owners and managers of institutional assets need research, trading, securities lending and innovative portfolio strategies, they turn to SSGM business unit. As our investment research and trading arm, SSGM’s number one goal is to enhance and preserve our clients’ portfolio values by applying technology, optimizing trading, and linking asset classes and markets across the world. Join us if making your mark in the capital markets industry from day one is a challenge you are up for.

What you will be responsible for As GM Senior Quantitative Analyst, AVP you will The AVP 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 SSGM Model Risk Global Head. The AVP is responsible for multiple facets of the overall project management and execution process, including: • Development, review, and documentation of front office models within different SSGM 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 AVP will collaborate with different business lines, and engage with internal model validation group. Key Responsibilities • Support model owner, in the execution of engagement-specific statistical/financial modeling and analyses, and in preparation of final model deliverables • Support GM 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 SSGM proprietary trading algos. including: • Review code and strategy changes to make sure they are in line with expectation and in compliance of 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 Education & Preferred Qualifications 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 regulations • A demonstrated ability to multi-task and operate in a fast-paced, deadline-oriented environment • Strong verbal and written communication skills, with ability to articulate ideas, analysis and complex concepts effectively to individuals from various backgrounds and ability to facilitate discussions and resolve conflicts between various stakeholders with competing interests • Graduate degree in a quantitative discipline (Financial Mathematics, Financial Engineering, Mathematics, Statistics, or a related field) • 2 to 5 years of working experience in model risk field recommended