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Model Risk Analyst

State Street

State Street

Boston, MA, USA
Posted on Saturday, February 3, 2024

Model Risk Analyst (State Street Bank and Trust Company; Boston, MA): Part of a team that addresses Model Risk requirements from internal oversight functions and external regulators. Will lead collaboration with model owner(s) in execution of Model Risk regulatory requirements for all active and in-development quantitative models and will support Model Governance Infrastructure implementation under supervision of senior leader. The Model Risk Analyst is responsible for multiple facets of the overall project management and execution process, including: Developing, reviewing, and documenting models within different business units; Justifying modeling assumptions and model results to internal model validation group and external regulators; Supporting the model owner, in the execution of engagement-specific statistical and/or financial modeling and analyses, and in the preparation of final model deliverables; Collaborating with model owner in designing and implementing suitable and effective model ongoing monitoring plans including performance metrics, thresholds, and escalation plans; Determining model methodology, developing customized solutions to perform independent model testing, and documenting the development methodology and implementation process, specifically: Establishing appropriate benchmarking and back-testing techniques that would be reflective of the main model’s purpose, horizon required, hedging implications and other important factors that might be relevant for holistic assessment of model performance; Identifying key model risks, by stress testing model inputs and parameters; Demonstrating the stability of model over a variety of alternate specifications and range of input values; Evaluating extreme values for inputs to identify any boundaries of model effectiveness. Developing comprehensive first line of defense (FLOD) documentation including model development, implementation, and ongoing monitoring documents; Working with model owners and developers on updating models to meet requirements identified by internal model validation group; Engaging with internal model validation group, for each class of models to be validated (FX Sales & Trading, Portfolio Solutions, Securities Finance, etc.), establish validation workflow and metrics for the validation outcome that are consistent with the main model purpose as well as approaches; Owning the quality control process for engagement-related deliverables (including programming code, presentations, and technical reports) for all supported models, ensuring materials comply with firm guidelines and group-specific quality standards; Ensuring engagement completion by delegating tasks, coaching and guiding other staff, and proactively resolving issues during project execution; Supervising and reviewing other analysts’ work; Preparing and delivering engagement status updates to key stakeholders; Managing workflow to ensure deliverables are prepared according to their timelines; and Building staffing projections, projecting staffing recommendations, supervising, interviewing and onboarding/training of new staff. Hybrid-remote telecommuting permitted pursuant to Company policy.

Minimum requirements: Master’s degree or its equivalent in Computational Finance, Financial Mathematics, Financial Engineering, Mathematics, Statistics, or related qualitative field; plus 2 years as a Model Risk Analyst or any occupation/title providing experience in a model risk field in financial markets and leading project management in large financial services company.

Total experience above must include the following (can be gained concurrently): 2 years of academic and/or employment experience working with advanced programming skills in statistical programming environment (Python, R, and MATLAB), with intermediate programming skills in VBA; Demonstrated track record leading project management in large financial services companies including: Developing project plans to identify required quantitative analyses and to establish timelines for required deliverables; Performing quantitative analyses, including back-testing, computation accuracy, sensitivity testing, stability testing, and functional testing, through programming languages to support each project-related deliverable; Reviewing deliverables for accuracy, compliance with internal guidelines, and external regulatory requirements; Demonstrated ability to explain and defend the assumptions and quantitative methodologies embedded and/or leveraged in the models to compliance groups, and regulatory bodies; Demonstrated experience with best-practice model risk management and validation techniques and requirements, including Fed SR 11-7; familiarity with at least 2 of the 3 following key regulatory frameworks and their corresponding requirements: CCAR, Dodd-Frank Act Stress Tests (DFAST), Market Abuse Regulations; Demonstrated experience validating two or more classes of models (foreign exchange, equities, security lending, digital currency, fixed income); Proven track record in the development of multiple extensive model validation or model development technical documentation for consumption by internal validation groups, supervisory authorities, and other regulatory entities; Demonstrated knowledge of database management and manipulation, including knowledge of SQL; and Demonstrated knowledge of counterparty risk, statistical modeling, and derivative pricing. (Unless otherwise indicated, no specific years of experience are required, and all experience can be gained concurrently).

To apply to this position, you must click the “Apply” button on this page and complete the online application. An EOE.#LI-DNI

Salary Range:

$104,000 - $180,000 Annual

The range quoted above applies to the role in the primary location specified. If the candidate would ultimately work outside of the primary location above, the applicable range could differ.