Financial Engineer, truView, Vice President

Financial Engineer (VP), 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 more than 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. The role requires significant independent ownership of pricing models, from understanding product payoffs and selecting appropriate methodologies through model specification, implementation, testing, validation and production support. 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

Design and maintain economics scenarios

Assisting on building new infrastructure of the product

Communication with internal and external stakeholders on modeling choices

Technical guidance and mentoring of junior Financial Engineers

Those with VP positions within the team usually manage a small group typically focused on a group of related products. However, as dictated by priorities and available capacity, any member of the team may be called on to collaborate on important projects as needed. The emphasis across the entire group is on delivery of scalable approaches to production in a timely fashion, but quality and consistency of model results, as well as robustness within a highly automated platform, are essential.

Qualifications

• Graduate degree in finance, financial engineering, mathematical finance, statistics, econometrics or similar
• Extensive knowledge of and experience with the pricing theory of a variety of financial derivatives.
• 10+ years in quantitative risk-related positions, including arbitrage-free valuation models
• Demonstrated hands-on experience in independently owning pricing or valuation models end-to-end
• Extensive familiarity with industry standard risk analytics and stress testing methods
• Broad experience and deep practical understanding of with market and portfolio risk framework
• Strong ability to independently investigate model discrepancies and clearly communicate modeling choices, assumptions and limitations to technical and non-technical stakeholders

Comfort with VBA and SQL, familiarity with C++/C#, Python, R

Communications skills appropriate for support of coworkers located in a variety of global locations

Excellent problem solver

• Proactive in raising questions and independent in executing daily job
• Demonstrated ability to provide technical leadership and mentor junior team members
• Strong focus on quality and on addressing client needs
• Desirable
• Experience with exotic interest rate and FX derivatives
• Experience with inflation derivatives
• Familiar with securitized products
• Experience with production model governance, validation or large-scale pricing/risk platform

About State Street

Across the globe, institutional investors rely on us to help them manage risk, respond to challenges, and drive performance and profitability. We keep our clients at the heart of everything we do, and smart, engaged employees are essential to our continued success.

We are committed to fostering an environment where every employee feels valued and empowered to reach their full potential. As an essential partner in our shared success, you’ll benefit from inclusive development opportunities, flexible work-life support, paid volunteer days, and vibrant employee networks that keep you connected to what matters most. Join us in shaping the future.

As an Equal Opportunity Employer, we consider all qualified applicants for all positions without regard to race, creed, color, religion, national origin, ancestry, ethnicity, age, disability, genetic information, sex, sexual orientation, gender identity or expression, citizenship, marital status, domestic partnership or civil union status, familial status, military and veteran status, and other characteristics protected by applicable law.

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