Quantitative Risk, AVP
Core
Develop and build financial models and analytics to assess counterparty credit risk for State Street Global Markets' financing solutions and derivatives.
Role type
Senior quantitative risk analyst (credit risk modeling)
Builds
Financial models, analytics solutions, and regulatory CCAR deliverables
Domain
Financial services / Quantitative risk modeling
Deliverable
production ML models
Required skills
Financial modeling, VaR/PFE/CVA modeling, Derivatives pricing, Yield curve building, Interest rate modeling, Python, SQL
Preferred skills
Machine learning, CCAR regulatory frameworks
Technologies
Python, SQL
Responsibilities
Model methodology research and prototyping, Develop financial models for trading business, Advance codebase and propose improvements, Design and implement model monitoring plans, Execute CCAR deliverables, Support BAU risk management activities
Seniority
Senior, hands-on IC