Quantitative Analyst, Assistant Vice President

We are seeking a strong quantitative modeler to join our team as an Assistant Vice President and Credit Risk Modeler, based in New Jersey, Connecticut, or Boston. This role is part of the Centralized Modeling, Analytics and Operations Group within Enterprise Risk Management’s Financial Risk Organization.

Why this role is important to us

Across the globe, institutional investors rely on us to manage risk, respond to complex challenges, and drive performance and profitability. Your team plays a critical role in the organization’s overall success by helping it operate effectively, adapt quickly, and remain resilient. In this role, you will develop cutting-edge, scalable, and practical solutions while contributing to strong day-to-day execution. Join us if you are motivated to make a meaningful impact in the financial services industry from day one.

Responsibilities

• Develop credit risk models (PD/LGD/EL) to provide quantitative support to credit risk analytical processes for State Street’s Commercial Real Estate (CRE) portfolio.
• Develop PD/LGD/EL models to support other wholesale non-CRE sectors, such as Corporate, Private Equity (PE) Fund, and Private Credit (PC) exposures.
• Develop credit portfolio risk models for CCAR/CECL/IFRS9/BASEL/Ratings/ICAAP use cases, as well as for economic capital.
• Review and enhance credit risk analytical methodology, including modeling choices, in line with expanding business and regulatory requirements.
• Review and verify key model assumptions with model owners.
• Review model outputs with properly justified opinions and judgments by experts from credit risk managers to capture forward-looking financial market and macro-economic outlooks.
• Implement internally developed models on the risk analytical library platform.
• Streamline the existing modeling and analytical process to increase the pace of execution and meet business needs.
• Work in close partnership with the three lines of defense functions, such as model governance, Corporate Audit, and Financial Regulatory Assurance, to ensure appropriate governance and control infrastructure for credit risk analytics.
• Prepare and present required reports/reviews to model risk management, senior management, and global regulators.

Skills

• Strong analytical and quantitative mindset; ability to take ownership and improve on existing risk models and methodologies.
• Energetic and motivating: an enthusiastic individual with proven leadership skills and an ability to motivate a diverse, multi-level workforce while instilling a sense of urgency on evolving goals.
• Organizational strengths: ability to organize projects, processes, and priorities to meet business needs in a coordinated, responsive, and timely manner with minimal direction.
• Confidence: a self-assured, experienced, and knowledgeable individual able to quickly garner support for informed, well-presented direction or analysis, with a willingness to negotiate when needed.
• Communicator: clear, confident, and adaptable communication style for various audiences and environments without diluting effectiveness.

Qualifications

• PhD in statistics, econometrics, or equivalent; research area in survival analysis/event history analyses or related fields preferred.
• PhD research involving heavy programming work with strong skills in Python, R, C/C++, SQL, etc., is preferred.
• Undergraduate training in mathematics and probability theory (measure theory) with good knowledge of stochastic calculus is a plus.
• 3-5 years of experience (for MS) or 2+ years of experience (for PhD) in developing credit risk models in a financial institution. Fresh PhDs with a solid academic background and strong programming skills will be considered.
• Strong programming skills in Python, R, C/C++, SQL, etc.
• Demonstrated experience working with model development teams, analytical library development teams, and technology.
• Motivated and fascinated by applying statistics and econometric methodologies to resolve credit risk modeling challenges in the financial industry.

Pay

$100,000 - $167,500 annual. The range quoted above applies to the role in the primary location specified. If the candidate would ultimately work outside of the primary location, the applicable range could differ.

Benefits

• Retirement savings plan (401K) with company match.
• Insurance coverage including basic life, medical, dental, vision, long-term disability, and other optional additional coverages.
• Paid-time off including vacation, sick leave, short-term disability, and family care responsibilities.
• Access to Employee Assistance Program.
• Incentive compensation including eligibility for annual performance-based awards (excluding certain sales roles subject to sales incentive plans).
• Eligibility for certain tax-advantaged savings plans.
• Paid volunteer days.
• Vibrant employee networks to keep you connected to what matters most.
• Inclusive development opportunities and flexible work-life support.