Quantitative Analyst, Assistant Vice President

Responsibilities

• Develop credit risk models (PD/LGD/EL) for Commercial Real Estate (CRE) and other wholesale sectors including Corporate, Private Equity, and Private Credit.
• Create credit portfolio risk models for CCAR, CECL, IFRS9, BASEL, Ratings, ICAAP, and economic capital use cases.
• Review and enhance credit risk analytical methodologies and modeling choices to meet regulatory requirements.
• Verify key model assumptions and review model outputs with credit risk managers to incorporate macro-economic outlooks.
• Implement internally developed models on the risk analytical library platform and streamline existing modeling processes.
• Partner with model governance, Corporate Audit, and Financial Regulatory Assurance to ensure robust control infrastructure.
• Prepare and present technical reports and reviews to model risk management, senior management, and global regulators.

Requirements

• PhD in statistics, econometrics, or an equivalent field.
• Strong programming skills in Python, R, C, C++, or SQL.
• Experience in credit risk modeling within a financial institution.
• Analytical and quantitative mindset with the ability to take ownership of risk models.
• Strong communication skills to present complex analysis to various audiences.

Preferred Qualifications

• Research focus in survival analysis, event history analysis, or related areas.
• Undergraduate training in mathematics and probability theory (measure theory).
• Knowledge of stochastic calculus.
• Experience working closely with analytical library development and technology teams.

Benefits

• Retirement savings plan (401K) with company match.
• Comprehensive insurance coverage including medical, dental, vision, and long-term disability.
• Paid time off including vacation, sick leave, and family care responsibilities.
• Incentive compensation eligibility for annual performance-based awards.
• Access to Employee Assistance Programs and tax-advantaged savings plans.

About the Company

State Street is a leading global provider of financial services to institutional investors. We help our clients manage risk, respond to complex challenges, and drive performance and profitability. We are committed to fostering an inclusive environment where employees are empowered to reach their full potential.