AVP, Credit Risk Modeling & Analytics

State Street; Clifton (NJ); On-site; USD 100,000 - 168,000; Full time

Benefits offered by this job

401K with company match

Insurance coverage

Paid time off

Volunteer days

Job summary

State Street seeks an Assistant Vice President and Credit Risk Modeler to join the Centralized Modeling, Analytics and Operations Group in Enterprise Risk Management. The role is based in New Jersey, Connecticut, or Boston and focuses on developing credit risk models (PD/LGD/EL) for CRE and wholesale exposures.

You will work with model governance and analytics teams to implement models, review assumptions, and present findings to senior management and regulators.

Qualifications

• PhD in statistics or econometrics or equivalent, prefer research area in survival analysis/event history analyses or related areas; Prefer PhD research 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.
• 3‑5 years of experiences for MS, 2+ years of experience for PhD (will consider fresh PhD with solid academic background and strong programming skills) of developing credit risk modeling in a financial institution
• 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

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 model 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 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

Skills

Python

R

C/C++

SQL

Credit risk modeling

Statistical analysis

Leadership

Education

PhD in statistics or econometrics

MS in quantitative field

Job description

State Street seeks an Assistant Vice President and Credit Risk Modeler to join the Centralized Modeling, Analytics and Operations Group in Enterprise Risk Management. The role is based in New Jersey, Connecticut, or Boston and focuses on developing credit risk models (PD/LGD/EL) for CRE and wholesale exposures.

You will work with model governance and analytics teams to implement models, review assumptions, and present findings to senior management and regulators.