JOE Listings (Job Openings for Economists)

August 1, 2014 - January 31, 2015

State Street Corporation

This listing is inactive.
Quantitative Analyst for Risk Analytics Team

JOE ID Number: 2014-02_111452359
Date Posted: 12/05/2014
Date Inactive: 01/31/2015
Position Title/Short Description
Title: Quantitative Analyst for Risk Analytics Team
Section: Full-Time Nonacademic
Location: Boston, Massachusetts, UNITED STATES
JEL Classification: 00 -- Default: Any Field
Full Text of JOE Listing:

Overview
The incumbent will be a member of the Risk Analytics team within Enterprise Risk Management. The team provides support in the development, deployment, and documentation of tools and methods for assessing various aspects of market, credit, operational, and liquidity risk to State Street. The team’s work is focused on building models to support State Street’s application of the advanced internal ratings-based (AIRB) approach to risk measurement under Basel III, ALLL, and CCAR. Application of the AIRB approach and CCAR will provide estimates of State Street’s capital requirements. The capital estimates support a variety of management objectives including developing regulatory reports, improving risk management, enhancing risk reporting, and allocating capital to business units.

Multiple positions at AVP and VP level are available at Risk Analytics depending on experience. Those positions are focused on developing and documenting estimates of the probability of default (PD), loss given default (LGD), and exposure at default (EAD), Operational risk estimation for State Street’s counterparties for A-IRB and CCAR. The incumbent will provide quantitative support to the team which will include others with credit expertise, but not necessarily quantitative modeling expertise.

Responsibilities

• Developing statistical models to quantify the value of the credit parameters and operational risk for Basel III and CCAR
• Performing backtesting, sensitivity testing, and stress testing of risk models
• Critically reviewing U.S. Basel III, CCAR and related regulations and developing methods to estimate the value of the credit parameters and operational risk that meet regulatory requirements
• As required, review non-U.S. banking regulations, and adjust the value of credit parameters or create an alternative set of credit parameters that meet non-U.S. regulatory requirements
• Managing large and complex data sets using statistical tools and database technologies
• Conduct econometric and statistical analysis
• Utilize external market data, e.g., credit spreads, to refine and inform the value of credit parameters for different types of counterparties and exposures
• Working with credit professionals to gain an understanding of credit markets and to reflect that understanding in the models and methods used to set the value of the credit parameters
• Writing technical documentation
• Presenting results of work to model validation, senior management, and regulators
• Working with the information technology group to document business requirements and to ensure methodologies are accurately implemented in production systems
• Completing ad hoc assignments in the general areas of credit and operational risk management and measurement

Qualifications

• Advanced degree in finance, economics, statistics, or a related field and 3 + years for VP and 1+ year for AVP of relevant work experience (relevant PhD degree can substitute for some or all of the work experience)
• In-depth understanding of multivariate statistics
• Experience modeling credit and/or operational risk for financial institutions
• Knowledge of a statistical or analytical modeling language such as SAS, Matlab, Stata, or R
• Experience working with large and complex data sets
• Strong written and verbal communication skills
• Good project management skills and a demonstrated ability to work independently on complex projects
• Knowledge of Basel III and CCAR regulations, with particular emphasis on credit-related issues and credit modeling methodologies is desirable
• Knowledge of Basel III compliant AMA operational risk modeling is desirable

We will be interviewing selected candidates at the AEA meetings in Boston. Please contact (Luis Escobar) LEscobar@StateStreet.com if you would like to apply to positions.

Application Requirements:
  • Application Instructions Below
Application Instructions:

We will be interviewing selected candidates at the AEA meetings in Boston. Please contact (Luis Escobar)LEscobar@StateStreet.com if you would like to apply to positions. if you would like to apply to positions.