JOE - May 2013

 
State Street Bank and Trust
Enterprise Risk Management
Treasury
Quantitative Analyst ALM, Vice President
 
Position Title/Short Description
Title: Quantitative Analyst ALM, Vice President
Section: 5 -- Full-Time Nonacademic
Location: Boston, MA, USA
JEL Classifications:
C5 -- Econometric Modeling
G1 -- General Financial Markets
G2 -- Financial Institutions and Services
G3 -- Corporate Finance and Governance
Deadline Date: 12/31/2013

JOE ID Number: 201305_398749

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Full Text of JOE Listing:
State Street Corporation (NYSE: STT) is the world's leading provider of financial services to institutional investors including investment servicing, investment management and investment research and trading. With $24.37 trillion in assets under custody and administration and $2.09 trillion in assets under management at December 31, 2012, State Street operates in 29 countries and more than 100 geographic markets and employs 29,660 worldwide. For more information, visit State Street's website at www.statestreet.com.

The Quantitative VP is a Boston, MA-based position in Global Treasury Risk Management (GTRM), the business-aligned risk function focused on oversight of the Global Treasury (GT) department, inclusive of the Asset and Liability Management (ALM) team.
The primary focus for the position will be interest rate risk (IRR) and asset-liability management and modeling, with additional efforts in the areas of mark-to-market/mark-to-model risk quantification of the bank's investment portfolio, credit risk modeling, and portfolio optimization. Prospective applicants must have extensive modeling experience, preferably in the areas of ALM and Treasury risk, and possess excellent communication skills and ability to articulate highly technical concepts to non-technical audiences and senior management. The individual must have the competence and confidence to gain credibility and collaborate for success across the organization.

Duties and responsibilities include:
-Support and enhance interest rate risk oversight including the measuring of IRR, the monitoring and reporting of IRR, and compliance to risk limits in place
-Actively participate in IRR monitoring and management forums, representing ERM's independent and objective perspective
-Perform model integrity activities regarding the implementation and maintenance of the ALM modeling platform and the IRR Ecap model
-Implement various interest rate term structure models
-Document and defend analyses and models
-Assist in the measuring and monitoring of mark-to-market risk of the investment portfolio
-Assist in the development of portfolio optimization procedures/balance sheet strategy recommendations

Qualifications:
-5-10+ years of experience in fixed income capital markets, Treasury activities, or risk management and regulatory concerns related to those disciplines
-Advanced degree in Economics, Finance or a quantitative discipline
-Understanding of Basel regulations as they pertain to a large US bank a plus
-Familiarity with vendor software for structured products and other fixed income products (such as Bloomberg, Intex, QRM, POINT, etc.)
-Familiarity with economic capital concepts/modeling; stress testing
-Team player, unquestionable integrity and ethical standards
Application Instructions:

http://bit.ly/TAytPI search #71175

Online Application URL: http://bit.ly/TAytPI

Note: This employer requires online Application.

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