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, and regulatory CCAR deliverables
Domain
Financial services / Credit risk / Derivatives
Deliverable
production ML models
Required skills
Python, SQL, VaR modeling, PFE modeling, CVA modeling, derivatives pricing, yield curve building, interest rate modeling, statistical programming
Preferred skills
Machine learning, CCAR regulatory frameworks
Technologies
Python, SQL
Responsibilities
Develop financial models for trading business, advance codebase and propose improvements, design model monitoring plans, execute CCAR deliverables, collaborate with control functions and IT partners
Seniority
Senior, hands-on IC