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Quantitative Analyst, Model Development

  • Kraków, małopolskie pokaż mapę
  • Specjalista
  • 04.01.2018

    Pracodawca ma prawo zakończyć rekrutację we wcześniejszym terminie.

    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 Analyst, Model Development
    Location: Kraków

    Job ID: 167921

    Why State Street Bank Poland?

    Operating in Europe since 1970 State Street services clients in multiple locations. State Street Bank Poland was first established in 2007 in Kraków. Today State Street Bank employs over 4000 staff members in two attractive locations: Kraków and Gdańsk. This offers multiple opportunities to gain experience in diverse areas of the investment fund cycle as our Poland branch 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. 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 (including Employee Savings Plan) 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.

    JOB DESCRIPTION:

    The Quantitative Analyst within Risk Analytics team in Poland will report to the local team manager located in Poland, and will be responsible for supporting the US team to conduct model development activities within existing ERM department. The scope of Poland team covers mainly the regulatory and economic capital models. These models are in areas including counterparty credit risk (e.g., Probability of Default, Loss Given Default, Expected Loss); ICAAP models (e.g., Business Risk, Credit Risk add-on calculation); and Operational Risk.

    JOB QUALIFICATIONS:

    Support the US team to conduct model development activities compliant with the regulatory and Model Risk Management guidelines:

    • Review of the quantitative methods for risk measurement used in the industry as well as proposed by academia.
    • Working with data providers and internal counterparties to determine the development data.
    • Preparation of the algorithms and codes used to estimate the model.
    • Presentation of the results during workshops with business counterparties and senior management. Application of suggested improvements.
    • Assessing the stability and robustness of models by conducting backtesting, sensitivity testing, and stress testing.
    • Preparation of model technical documentation and ongoing monitoring plan.
    • Cooperation with the information technology professionals during preparation of model implementation plan.
    • Cooperation with Model Risk Management during model validation stage. Incorporation of suggested remediation actions.

    JOB REQUIREMENTS:

    Basic Qualifications:

    • Previous experience in independent model development of risk/financial models in banking industry.
    • PhD in related disciplines or Master degree with extensive business knowledge and strong technical skills (e.g. Statistics, Econometrics, Mathematics, Computer Science or Engineering).
    • 3+ years of programming experience with SAS, R, Matlab, STATA
    • Good communication skills (verbal and written in English).
    • Ability to execute on competing priorities in a timely manner.
    • Quick learner
    • Minimum 3 year of experiences in risk management in banking industry.

    Desired Qualifications:

    • Hands on experience in model development and/or model 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.


     

    Job ID: 167921 / Location: Kraków

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