Quantitative Analyst

Title: Quantitative Analyst

  • Employer: State Street Corporation
  • Website: http://www.statestreet.com
  • Location: Boston, MA
  • Job Description:

    State Street Corporation’s Model Validation Group (MVG) is recruiting for Quantitative Analysts (at the junior or senior level). MVG is part of the Enterprise Risk Management (ERM) division. ERM is responsible for providing risk management services for all business areas, including credit risk, market risk, operational risk, and asset management. MVG runs the Model Risk Governance Program, which supports and implements State Street’s Model Risk Governance Policy for mitigating model risk.

    JOB DESCRIPTION: Quantitative Analysts participate in model validation to ensure model risks are correctly identified, assessed, and managed. Senior Quantitative Analysts lead model reviews and offer guidance to Quantitative Analysts. MVG's review work is focused on models used to make business and operating decisions. These models are in the following general areas: wholesale credit risk (e.g., probability of default, loss given default); market risk (e.g., daily value at risk pricing models, counterparty credit risk, and ALM risk); securities finance; and operational risk.

    Specific tasks performed during model reviews include:

    • Assessing model theory and assumptions, as well as considering modeling methods and alternate options

    • Testing and confirming model results by using documented procedures for running models

    • Reviewing code documentation for proper model implementation, including the possible simulation of results

    • Working with information technology professionals to assess model data integrity

    • Assessing the stability and robustness of models by conducting backtesting, sensitivity testing, and stress testing
    • Presenting results of model validation work to senior management and making recommendations for improvements


    • PhD in Finance, Economics, Statistics, Math, or related field ; Senior positions require 5-6 years of work experience in a financial services firm on a model validation team

    • Familiarity with quantitative risk management methodologies including VaR and stress testing

    • Excellent quantitative modeling, analytical, research, and programming skills (e.g., C++, SAS, MATLAB, Stata)

    • Strong written and verbal communication skills

    • Good project management skills exemplified by the ability to work independently on multiple projects and meet deadlines
    APPLICATION PROCEDURE: Qualified candidates can apply by sending a cover letter and resume to Vassil Konstantinov, Vice President and Senior Quantitative Analyst [vakonstantinov@statestreet.com] with “Job ID: MVG-ASSA2014” in the subject line of the email (neither letters of reference nor published papers should be included with the application at this time).

  • Application Deadline: December 24, 2013
  • Interview Date: January 3-4, 2014
  • Contact Details: Vassil Konstantinov, vakonstantinov@statestreet.com
  • Other Info:

    We will be interviewing at the 2014 Annual Meeting of the AFA.

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