Financial Engineer (AVP) Financial Engineer (AVP) …

State Street Corporation
in New York, NY, United States
Permanent, Full time
Last application, 01 Aug 20
State Street Corporation
in New York, NY, United States
Permanent, Full time
Last application, 01 Aug 20
State Street Corporation
Financial Engineer (AVP)
Financial Engineer (AVP), truView truView® is a multi-asset-class analytics platform offered as a service to clients of State Street. Initially developed to serve hedge funds within State Street's IFS subsidiary, truView now serves a wide variety of institutional investors, including pension funds, asset managers, and insurance companies, in addition to a growing portfolio of hedge fund clients. The system currently processes approximately 10 million positions per day.

The Position
truView's risk measurements are done using a full repricing methodology, requiring a large array of valuation models for cash and derivative instruments. The Financial Engineering team is responsible for the development, maintenance, and ongoing support of these models. These responsibilities extend to representations of trades, the market data appropriate for valuing them, analytics output by the model for aggregation with other instruments, and the overall performance of the risk model. As part of its responsibilities, the FE team communicates with internal and external stakeholders-senior management, operations staff, model validators, and client representatives-to ensure that models are documented, understood, and updated where appropriate based on client requests or market changes.

The Work
A member of the FE team works on a variety of projects and tasks, including:
Proof of concept for new modeling methods
Definition and evaluation of required market data
Prototyping of new or enhanced models
Formulations of model specs for implementation by developers
Testing of new model implementations
Production support of new and existing models
Communication with internal and external stakeholders on modeling choices

Those with AVP positions within the team generally start with well defined, focused responsibilities in a few areas, which then naturally grow in scope, eventually leading to a leadership role in product strategy, formulating improved approaches that are practical and scalable. While the position does not initially come with management responsibilities, a successful new hire can expect, as his or her responsibilities expand, to mentor one or more junior team members, eventually transitioning to a more formal management and leadership role.

Graduate degree in finance, financial engineering, statistics, econometrics or similar
3+ years in quantitative risk-related positions, including arbitrage-free valuation models
Extensive familiarity with industry standard risk analytics and stress testing methods
Communications skills appropriate for support of coworkers located in a variety of global locations
Comfort with VBA and SQL, familiarity with C++/C#, Python, R
Excellent problem solver willing to work independently
Strong focus on quality and on addressing client needs

Extensive experience with interest rate derivatives, extending from vanilla to more exotic structures
Company Overview

From technology and product innovation to corporate responsibility and community development, 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 - strengthening markets, building communities and creating opportunities for growth.

We owe that longevity to the commitment, expertise and creativity of our employees. Our continued success depends on our ability to attract and develop the best talent in the industry. That's why we're keenly focused on employee development, corporate citizenship and inclusion.

For us, success comes in the mark we make as an organization - for the industry, our clients, our communities and each other.