Quantitative Risk Officer and Risk Model Developer

State Street•Clifton, NJ

1d•Hybrid

About The Position

This role is for a strong quantitative modeler to join the team as an Officer and Credit Risk Modeler. The position 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 by helping the organization operate effectively, adapt quickly, and remain resilient. The role focuses on developing cutting-edge solutions that are both scalable and practical, while contributing to strong day-to-day execution. The ideal candidate is motivated to make a meaningful impact in the financial services industry.

Requirements

MS or PhD in statistics or econometrics or equivalent
Strong programming skills in Python/R/C/C++/SQL etc.
Demonstrated experiences working with model development teams, analytical library development team and technology
Motivated and fascinated in how to apply statistics and econometric methodologies to resolve credit risk modeling challenges in financial industry

Nice To Haves

Research area in survival analysis/event history analyses or related areas
Research area that involves heavy programming work
Undergraduate training in mathematics and probability theory (measure theory) with good knowledge of stochastic calculus is a big plus

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

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 our Employee Assistance Program
incentive compensation including eligibility for annual performance-based awards
eligibility for certain tax advantaged savings plans
inclusive development opportunities
flexible work-life support
paid volunteer days
vibrant employee networks