State Street Corporation (NYSE: STT) is the world's leading provider of financial services to institutional investors including investment servicing, investment management, market research and trading. With $28.4 trillion in assets under custody and administration and $2.48 trillion in assets under management State Street operates in 29 countries and more than 100 geographic markets and employs over 29,000 worldwide promoting a culture of excellence.
At the moment we are looking for candidates for
Quantitative Senior Analyst – Model Validation
Location: Kraków, małopolskie
JOB ID: R-604419
to join the insource organization supporting the State Street EMEA
Why State Street Bank Poland?
Operating in Europe since 1970 State Street services clients in multiple locations. State Street Bank Poland was established in 2007 in Kraków. Today State Street Bank Poland employs over 2000 staff members at three sites across the city. Our Kraków office provides investment fund accounting and related services to clients of multiple State Street locations and business units across Europe. We offer positions in a challenging, rapidly changing and international environment. There are multiple opportunities to gain experience in diverse areas of the investment fund cycle. State Street offers a significant scope for personal growth and career progression. Throughout your career at State Street you will be provided with a wide range of training opportunities and internal mobility options as well as individual development plans, attractive benefits and an excellent remuneration package. The continuous development of our employees from day one is critical as we continually seek to develop and expand the local management team and create future leaders from within.
Model Validation Quantitative Analyst will report to the head of Model Risk Management in Poland, and will be responsible of supporting the US team to conduct model validation activities within existing ERM department. The Poland team will cover the models used at State Street to make business and operating decisions—most notably regulatory and economic capital models, as well as insuring the implementation of Model Risk Governance Program guidelines and requirements. These models are in areas including credit risk (e.g., probability of default, loss given default, exposure measurement); credit risk for structured products (including ABS, RMBS, CBMS, CLO, etc.), market risk (e.g., value at risk models, counterparty credit risk, ); liquidity risk and asset management.
Support the US team to conduct model validation activities and ensure model risks are correctly identified, assessed, and captured:
- Assessing model theory and model assumptions as well as considering model methods and potential options.
- Testing and confirming model results by using documented procedures for running the model(s).
- Reviewing code documentation for proper model implementation, including the possible simulation of results.
- Determine model data integrity
- Assessing the stability and robustness of models by conducting backtesting, sensitivity testing, and stress testing.
- Making recommendations and suggesting improvements related to the applicability of the different models assessed in meeting their objectives.
- Ensure compliance with the regulatory (SR11-7) and State Street quality requirements for model risk.
- Deliver the validation findings via management presentations and validation reports.
- Communicate with onsite validators, model developers and business to relay the issues and feedback and capture the action plans.
- Ensure quality checks and controls for models are in place.
- PhD in related disciplines or Master degree with extensive business knowledge and strong technical skills (e.g. Statistics, Econometrics, Mathematics, Computer Science or Engineering).
- Senior positions require 2-3 years of work experience in a financial services firm on a model validation/development team
- Programming experience with R, Python, Matlab SAS
- Good communication skills (verbal and written in English).
- Ability to execute on competing priorities in a timely manner.
- Quick learner
- Experiences in risk management in banking industry is preferred.
- Previous experience in model development and/or validation
To apply to this position, follow the "apply now" link. To locate this position in our application page, please use the KEYWORD search functionality and insert either the State Street Job ID or the Location.
As a first step we ask all candidates to fill out our online application form. Please enclose the CV in English and remember to save this document without any Polish characteristics also in file name.