Quantitative Analyst - Model Validation Quantitative Analyst - Model Validation …

State Street Corporation
in Kraków, Malopolskie, Poland
Permanent, Full time
Be the first to apply
State Street Corporation
in Kraków, Malopolskie, Poland
Permanent, Full time
Be the first to apply
State Street Corporation
Quantitative Analyst - Model Validation
Model Validation Quantitative Analyst will report to the head of Model Risk Management in Poland, and will be responsible of supporting the US team to conduct model validation activities within existing ERM department. The Poland team will cover the models used at State Street to make business and operating decisions-most notably regulatory and economic capital models, as well as insuring the implementation of Model Risk Governance Program guidelines and requirements. These models are in areas including credit risk (e.g., probability of default, loss given default, exposure measurement); credit risk for structured products (including ABS, RMBS, CBMS, CLO, etc.), market risk (e.g., value at risk models, counterparty credit risk, ); liquidity risk and asset management.

Support the US team to conduct model validation activities and ensure model risks are correctly identified, assessed, and captured:
  • Assessing model theory and model assumptions as well as considering model methods and potential options.
  • Testing and confirming model results by using documented procedures for running the model(s).
  • Reviewing code documentation for proper model implementation, including the possible simulation of results.
  • Determine model data integrity
  • Assessing the stability and robustness of models by conducting backtesting, sensitivity testing, and stress testing.
  • Making recommendations and suggesting improvements related to the applicability of the different models assessed in meeting their objectives.
  • Ensure compliance with the regulatory (SR11-7) and State Street quality requirements for model risk.
  • Deliver the validation findings via management presentations and validation reports.
  • Communicate with onsite validators, model developers and business to relay the issues and feedback and capture the action plans.
  • Ensure quality checks and controls for models are in place.

Basic Qualifications:
  • PhD in related disciplines or Master degree with extensive business knowledge and strong technical skills (e.g. Statistics, Econometrics, Mathematics, Computer Science or Engineering).
  • Senior positions require 2-3 years of work experience in a financial services firm on a model validation/development team
  • Programming experience with R, Python, Matlab SA
  • Good communication skills (verbal and written in English).
  • Ability to execute on competing priorities in a timely manner.
  • Quick learner
  • Experiences in risk management in banking industry is preferred.

Desired Qualifications:
  • Previous experience in model development and/or validation

We offer:
  • Employee savings plan;
  • Premium life insurance package;
  • VIP medical package;
  • International operating environment;
  • Language classes;
  • Soft skills trainings;
  • Technical workshops;
  • Development sessions with a mentor;
  • Diversity of opportunities across a range of challenging and highly complex activities;
  • Technical or leadership career pathway.
Company Overview

From technology and product innovation to corporate responsibility and community development, we're making our mark on the financial services industry. For more than two centuries, we've been helping our clients safeguard and steward the investments of millions of people - strengthening markets, building communities and creating opportunities for growth.

We owe that longevity to the commitment, expertise and creativity of our employees. Our continued success depends on our ability to attract and develop the best talent in the industry. That's why we're keenly focused on employee development, corporate citizenship and inclusion.

For us, success comes in the mark we make as an organization - for the industry, our clients, our communities and each other.


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