Job Description
JOB DESCRIPTION:
State Street’s Model Risk Management (MRM) function is seeking a Quantitative Analyst to join its Model Validation Group. The Quantitative Analyst will conduct model validation to ensure model risks are correctly identified, assessed, and managed. MRM’s validation work is focused on models in the following general areas: liquidity risk, asset liability management, interest rate risk and stress testing.
Specific tasks performed during model reviews include:
Assessing model theory and assumptions as well as considering alternative modeling methods and approaches
Testing and confirming model results by using documented procedures for running models
Assessing computational accuracy by reviewing code documentation for proper model implementation, including the possible simulation of results
Review and assess model changes and conduct targeted validation on significant model changes
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