Credit Risk Modeler, Assistant Vice President

State Street is a global financial institution that helps institutional investors manage risk and drive performance. They are seeking an Assistant Vice President, Credit Risk Modeler to develop advanced credit risk models and analytics, collaborating with cross-functional teams to enhance credit risk management practices.

Responsibilities:

• Develop credit risk models (PD/LGD/EL) to provide quantitative support to credit risk analytical processes for State Street’s wholesale portfolios, including Corporate, Commercial Real Estate (CRE), 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