Global Markets Pricing and Analytics Manager / Quantitative Risk, MD

Who we are looking for

We are looking for a Global Markets Pricing and Analytics Manager to join the SSGM Risk and Capital Optimization team in Boston. The team manages Credit and Market Risk as the First Line of Defense across SSGM’s business units, including Securities Finance, FX Sales & Trading, Portfolio Solutions, Global Link, State Street Associates, and Funding and Collateral Transformation ("FaCT"). 

Additionally, the team performs Financial Resource Management, covering allocation, monitoring, and optimization of capital, funding, and liquidity.

This newly created Managing Director (MD) role is designed to help SSGM implement a best practice approach to price modeling, regulatory compliance (FRTB), and the measurement and management of XVA exposures. The need to support SSGM’s expanding product set and evolving regulatory requirements have led us to centralize the development and ownership of pricing models, along with the coordination of collaboration with Second Line of Defense (Enterprise Risk Management, ERM) and other internal stakeholders in this role.

The MD will collaborate mainly with the various trading desks in SSGM’s businesses, SSGM Management, Enterprise Risk Management, Global Treasury, and Regulators.

Due to the role requirements this job needs to be performed primarily in the office with some flex work opportunities available.

Why this role is important to us

The team you will be joining is a part of State Street Global Markets (SSGM). When owners and managers of institutional assets need research, trading, securities lending and innovative portfolio strategies, they turn to SSGM business unit. As our investment research and trading arm, SSGM’s number one goal is to enhance and preserve our clients’ portfolio values by applying technology, optimizing trading, and linking asset classes and markets across the world.

Join us if making your mark in the capital markets industry from day one is a challenge you are up for.

What you will be responsible for

As Global Markets Pricing and Analytics Manager, you will

• Review existing pricing and exposure modeling practices across:
  • Delta One FX products
  • XVA exposures (Primarily CVA, KVA, and FVA focused)
• XVA production and integration for all GM businesses as needed, including
  • Pre-trade sales/pricing integration of XVA driven charges into trading systems
  • Improve competitiveness in pricing of product offerings
• Take ownership of existing pricing models and develop new models as SSGM’s product set expands:
  • Interest Rate Swaps
  • FX Options
  • Equity Total Return Swaps
  • Treasuries and other sovereign bond positions like Korean MSBs and Taiwanese NCDs
• Work closely with ERM quants to map simulated risk factors in historical and Monte Carlo simulations to the risk factors required in pricing models
• Facilitate the transition from the current curve configurations used in Murex and Algo to the final configurations chosen by the front office, to aid in the validation of the new in-house VaR, stress testing, and PFE/CVA models
• Work closely with Market Risk managers on risk sensitivities (FX Delta, DV01 and Option Greeks) to be captured under the market risk limit framework
• Provide outputs to support P&L explained by the modelled risk factors
• Build and train a team of quantitative analysts to support the remit in the long term
• Ensure alignment with industry best practices though engagement with a network of peers and industry groups

What we value

These skills will help you succeed in this role

• In-depth experience in modeling Pricing and Volatility of Delta One FX, FX Options, Fixed Income and Swap products.
• 10-15 years’ experience in capital markets preferred.
• Familiarity with key pricing, analytics, and CCR platforms such as Murex and Algorithmics preferred.
• Demonstrated ability to multi-task and operate in a fast-paced, deadline-oriented environment.
• Strong verbal and written communication skills, articulating complex concepts effectively to individuals from various backgrounds.
• Ability to facilitate discussions and resolve conflicts between various stakeholders with competing interests.

Education & Preferred Qualifications

• Master’s Degree or PhD in a quantitative field (Math, Physics, Financial Engineering, Computer Science, Economics).
• Professional designation (CFA, FRM) strongly preferred.

Are you the right candidate? Yes!

We truly believe in the power that comes from the diverse backgrounds and experiences our employees bring with them. Although each vacancy details what we are looking for, we don’t necessarily need you to fulfil all of them when applying. If you like change and innovation, seek to see the bigger picture, make data driven decisions and are a good team player, you could be a great fit.

About State Street

What we do. State Street is one of the largest custodian banks, asset managers and asset intelligence companies in the world. From technology to product innovation, we’re making our mark on the financial services industry. For more than two centuries, we’ve been helping our clients safeguard and steward the investments of millions of people. We provide investment servicing, data & analytics, investment research & trading and investment management to institutional clients.

Work, Live and Grow. We make all efforts to create a great work environment. Our benefits packages are competitive and comprehensive. Details vary by location, but you may expect generous medical care, insurance and savings plans, among other perks. You’ll have access to flexible Work Programs to help you match your needs. And our wealth of development programs and educational support will help you reach your full potential.

Inclusion, Diversity and Social Responsibility. We truly believe our employees’ diverse backgrounds, experiences and perspectives are a powerful contributor to creating an inclusive environment where everyone can thrive and reach their maximum potential while adding value to both our organization and our clients. We warmly welcome candidates of diverse origin, background, ability, age, sexual orientation, gender identity and personality. Another fundamental value at State Street is active engagement with our communities around the world, both as a partner and a leader. You will have tools to help balance your professional and personal life, paid volunteer days, matching gift programs and access to employee networks that help you stay connected to what matters to you.

State Street is an equal opportunity and affirmative action employer.

Salary Range:

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.

Job Application Disclosure:

It is unlawful in Massachusetts to require or administer a lie detector test as a condition of employment or continued employment. An employer who violates this law shall be subject to criminal penalties and civil liability.

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