Model Risk Validation Quantitative Analyst, Global Markets, Assistant Vice President Model Risk Validation Quantitative Analyst, Global  …

State Street Corporation
in Boston, MA, United States
Permanent, Full time
Be the first to apply
Competitive
State Street Corporation
in Boston, MA, United States
Permanent, Full time
Be the first to apply
Competitive
State Street Corporation
Model Risk Validation Quantitative Analyst, Global Markets, Assistant Vice President
State Street Global Markets ("SSGM") is looking for an Assistant Vice President ("AVP") to join the SSGM Model Risk Validation team in Boston. SSGM Model Risk Validation 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"), allowing business units to address Model Risk requirements from internal oversight functions and external regulators.
Job Description The AVP will collaborate with model owner in execution of Model Risk regulatory requirements for all active and in development quantitative models and support Model Governance Infrastructure implementation under supervision of SSGM Model Risk Validation Global head. The AVP is responsible for multiple facets of the overall project management and execution process, including:
  • Development, review, and documentation of models within different SSGM business units
  • Supervision and review of junior analysts' work
  • Justifying modeling assumptions and model results to internal model validation group and external regulators
  • Preparation and delivery of engagement status updates to key stakeholders
  • Workflow management to ensure deliverables are prepared according to their timelines
Key Responsibilities
  • Support model owner, in the execution of engagement-specific statistical and/or term structure modeling and analyses, and in the preparation of final model deliverables
  • Assume a key role in determining model methodology, develop 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 backtesting 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 quants and developers on updating models to meet requirements from internal model validation group
  • Engage with internal model validation group, for each class of models to be validated (FX Sales & Trading, Portfolio Solutions, Securities Finance, etc.), establish validation workflow and metrics for the validation outcome that are consistent with the main model purpose as well as approaches
  • Own the quality control process for engagement-related deliverables (including programming code, presentations, and technical reports), ensuring materials comply with firm guidelines and group-specific quality standards
  • Ensure engagement completion by delegating tasks, coaching and guiding junior staff, and proactively resolving issues during project execution
Desired Skills & Experience
  • Demonstrated track record leading project management in large (US$200 billion plus in total assets) financial services companies (US financial institutions is preferred), including:
    • Developing project plans to identify required quantitative analyses and to establish timelines for required deliverables
    • Performing quantitative analyses supporting each project-related deliverable
    • Reviewing deliverables for accuracy, compliance with internal guidelines, and external regulatory requirements
  • Demonstrated ability to interface with model validation group, compliance groups, and regulatory bodies in order to explain and defend the assumptions and quantitative methodologies embedded and/or leveraged in the models
  • Demonstrated experience with best-practice model risk management and validation techniques and requirements, including:
    • OCC 2011-12 Supervisory Guidance on Model Risk Management
    • Fed SR 11-7 Guidance on Model Risk Management
  • Familiarity with key regulatory frameworks and their corresponding requirements, including but not limited to:
    • CCAR
    • MiFID II
    • Market Abuse Regulation
  • Previous experience developing or validating one or more classes of models (foreign exchange, equities and derivatives, security lending, etc.)
  • Previous experience developing and reviewing model governance documents, and remediating models (when necessary) to ensure compliance with guidelines
  • Proven track record in the development of extensive (80-100 page-plus) model validation or model development technical documentation for consumption by internal validation groups, supervisory authorities, and other regulatory entities
  • Demonstrated knowledge of database management and manipulation, including knowledge of SQL
  • 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
  • Demonstrated knowledge of FX sales and trading, securities finance, and derivative pricing
  • Graduate degree in a quantitative discipline (Financial Mathematics, Financial Engineering, Mathematics, Statistics, or a related field)
Minimum of3 to 5 years of working experience in model risk field
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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