JOE - February 2013

 
State Street Corporation
Enterprise Risk Management
Risk Analytics
Quantitative Analyst, VP
 
Position Title/Short Description
Title: Quantitative Analyst, VP
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

JOE ID Number: 201302_398539

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Full Text of JOE Listing:
You will be a member of the Credit Risk Parameter Team in Enterprise Risk. Our work is focused on building the infrastructure needed to support State Street's application of the advanced internal ratings-based (AIRB) approach to risk measurement under Basel II. This position is focused on developing and documenting estimates of the probability of default (PD) and loss given default (LGD) for State Street's counterparties and credit exposures.

Specific duties include:
--Evaluate/recommend alternative approaches for developing credit parameter estimates
--Conduct econometric and statistical analysis of credit data
--Developing statistical models to quantify the value of the credit parameters
--Develop methods to estimate the value of the credit parameters that meet regulatory requirements
--Performing backtesting, sensitivity and stress testing
--Write technical documentation
--Present results to senior management

Qualifications:
--Advanced degree in finance, economics, statistics, or a related field
--3 to 5 years of relevant work experience
--An ideal candidate would have prior experience with PD and LGD models for high yield exposures
--Experience modeling credit risk for financial institutions
--Knowledge of a statistical or analytical modeling language such as SAS, Matlab, Stata, or S+

A full description may be found on our website.
Application Instructions:

To apply go to: http://bit.ly/TAytPI and search for job #67856 in the USA opportunities section.

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

Note: This employer requires online Application.

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