Quantitative Analyst, Assistant Vice President

Job Description

• Develop PD/LGD/EL credit risk models for State Street’s Commercial Real Estate and other wholesale portfolios, including Corporate, Private Equity Fund, and Private Credit exposures.
• Build credit portfolio risk models supporting CCAR, CECL, IFRS9, Basel, ratings, ICAAP, and economic-capital use cases.
• Review model methodologies, assumptions, outputs, and forward-looking macroeconomic judgments while aligning with business and regulatory requirements.
• Implement models on the internal risk analytical library platform, streamline analytical processes, and present reports to model risk management, senior management, and global regulators.
• Requires a PhD in statistics/econometrics or equivalent, or an MS with 3–5 years of experience; PhD candidates generally require 2+ years of credit-risk-modeling experience, with fresh PhDs considered if they have strong academic and programming backgrounds. Role is based in Clifton, NJ, with New Jersey, Connecticut, or Boston also indicated.