Quantitative Risk Officer and Risk Model Developer

About the role

This role is part of the Centralized Modeling, Analytics and Operations Group within Enterprise Risk Management’s Financial Risk Organization. The team plays a critical role in the organization's overall success, providing quantitative support to credit risk analytical processes for State Street's wholesale portfolios.

Responsibilities

• Develop credit risk models (PD/LGD/EL) to provide quantitative support to credit risk analytical processes for State Street’s wholesale portfolios, including Commercial Real Estate (CRE), Corporate, Private Equity (PE) Fund and Private Credit (PC) exposures, etc.
• 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 risk analytical library platform.
• Streamline the existing modeling and analytical process; increasing the pace of execution to meet the needs of the business.
• 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.

Qualifications

• MS or PhD in statistics or econometrics or equivalent, prefer research area in survival analysis/event history analyses or related areas; Prefer research area that involves heavy programming work with strong programming skills in Python/R/C/C++/SQL etc.
• Undergraduate training in mathematics and probability theory (measure theory) with good knowledge of stochastic calculus is a big plus.
• Strong programming skills in Python/R/C/C++/SQL etc.
• Demonstrated experiences working with model development teams, analytical library development team and technology.

Benefits

The salary range for this position is $75,000 - $123,750 annually. Employees are eligible to participate in State Street’s comprehensive benefits program, which includes: our 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 our Employee Assistance Program; incentive compensation including eligibility for annual performance-based awards (excluding certain sales roles subject to sales incentive plans); and, eligibility for certain tax advantaged savings plans. For a full overview, visit StateStreet.com/careers.