Quantitative Analyst (State Street Bank and Trust Company; Boston, MA): The Quantitative Analyst will be part of State Street Treasury's Treasury Quantitative Analytics (TQA) group. TQA is responsible for developing/implementing/monitoring advanced financial models that are used in company's capital management, liquidity management, investment portfolio construction, and balance sheet optimization. The group is accountable for in-depth understanding, modeling, and representation of the complex interaction of global markets, customer behaviors, and regulatory oversights to create a view of risk/revenue opportunities and exposures to the investment committee, Board of Directors, senior management, and regulatory agencies. The Quantitative Analyst role is a key contributor to the realization of the GT's mission of optimizing net interest income within the desired risk appetite position. Specific responsibilities include: apply advanced statistical techniques to analyze the characteristics of the bank's liabilities (including deposit balance forecast, deposit attrition rate and deposit pricing), using time-series analysis, survival analysis, and non-parametric regressions; experience with machine learning techniques such as principal component analysis, regression trees, and non-linear models; conduct in-depth quantitative analysis on how macroeconomic changes impact the bank's balance sheet positions and understand the interest rate risks of the bank in different economic cycles; apply solid knowledge of CCAR, DFAST, and Basel regulations and developed stress testing models to quantify capital and liquidity risks; create and maintain model documentation that meets corporate model risk standards including model development and implementation papers; ensure proper ongoing monitoring of model performance including back-testing and performance reviews; and work closely with key business partners and senior management to understand the business needs and conditions and determine the analytical tools and data needed; serve as the subject matter experts on product analysis and modeling with regulatory agencies and internal oversight functions.
Minimum requirements: Master's degree in Econometrics, Mathematics, Statistics, or a related quantitative field plus 2 years of quantitative modeling experience including at least one year in a large, complex financial institution with a broad exposure to all lines of businesses of a custodial bank.
Must have: demonstrated experience modeling complex financial concepts using non-linear, error correction, survival, and time-series models, Monte Carlo simulations and unsupervised and supervised machine learning, and other advanced quantitative techniques; proven knowledge of liquidity and capital stress testing, CCAR, and deposit modeling experience required; proven solid ability working with large and complex data sets including relational databases and complex queries using both SQL Server and My SQL; demonstrated proficiency in R/SAS/Matlab coding and working knowledge of Excel VBA, Eviews, python, and Cloudera Data Science Workbench; deep and broad understanding of all kinds of financial instruments like loans and deposits, as well as derivatives like options and futures; CFA candidates desired; demonstrated strong written and verbal communication skills and ability to present material to various audiences including upper management and regulators; and proven ability to take initiative, adapt and learn quickly, and be a self-starter. (Unless otherwise indicated, State Street is seeking the ability in the skills listed above with no specific amount of experience required. All experience can be gained concurrently).
A pply online at statestreet.com/careers . State Street Job ID: R-620670 .