Quantitative Analyst, Assistant Vice President
Location:
Boston , Massachusetts
Posted:
October 26, 2016
Reference:
145463
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Job Description
Job Description:
The incumbent will be a member of the Risk Analytics Team in Enterprise Risk Management. The Team provides support in the development, deployment, and documentation of tools and methods for assessing various aspects of credit risk to State Street. The Team's 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 III, ALLL, and CCAR. Application of the AIRB approach will provide estimates of State Street's capital requirements. The capital estimates and associated AIRB inputs support a variety of management objectives including developing regulatory reports, improving risk management, enhancing risk reporting, and allocating capital to business units.
Responsibilities

The individual is expected to provide quantitative support to State Street's efforts to manage credit risk in CRE portfolios covering a range of asset classes and ensuring that the PD, LGD, valuation and ALLL models comply with all applicable regulations. Specific duties include the following:
  • Managing large and complex credit data sets using statistical tools and database technologies.
  • Conduct econometric and statistical analysis of credit data.
  • Developing statistical models to quantify the value of the credit parameters.
  • Performing backtesting, sensitivity testing, and stress testing of credit parameters.
  • Writing technical documentation.
  • Providing support for development and documentation of other credit parameter inputs used in State Street's AIRB system.
  • Presenting results of work to senior management.
  • 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 risk management and measurement.


Qualifications
Qualifications:
  • The candidate should hold a graduate degree in a quantitative science, physics, mathematics, mathematical finance, finance, or economics.
  • Have CRE model development experience. Knowledge of CRE market is a plus.
  • In-depth understanding of multivariate statistics
  • Experience modeling credit risk for financial institutions.
  • Familiar with the methods used in the calculation of PD, LGD, property valuation, ALLL and Stress testing and how these methods can be applied to large portfolios.
  • Knowledge of a statistical or analytical modeling language such as SAS, Matlab, Stata, or S+.
  • Experience working with large and complex data sets.
  • Strong written and verbal communication skills.


Job Opening ID
145463

Location
Boston - MA - USA

Closing Statement
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