Role Overview
State Street is seeking an Assistant Vice President – Quantitative Analyst to join the Centralized Modelling, Analytics & Operations (CMAO) team within Enterprise Risk Management. CMAO develops and maintains risk‑measurement models across both the banking book and the trading book. The initial focus of this role is to support key enhancements to Interest Rate Risk in the Banking Book (IRRBB) and Credit Spread Risk in the Banking Book (CSRBB). As skills and capacity allow, the AVP may also gain exposure to broader Enterprise Market Risk modelling, including trading‑book interest‑rate and credit‑spread risk, providing an excellent opportunity to broaden cross‑book market‑risk expertise. The position is based in the United States with regular collaboration with colleagues in the UK and EMEA.
Key Responsibilities
- Enhance IRRBB & CSRBB analytics and models, including EVE and NII modelling within QRM.
- Perform detailed analysis of sensitivities, behavioral assumptions, scenario impacts, and attribution of results.
- Ensure analytics are produced consistently and align with risk‑appetite and governance expectations.
- Diagnose issues in model configuration, data inputs, and scenario behavior.
- Contribute to technical documentation describing model assumptions, methodology, configuration, and limitations.
- Prepare analysis for senior‑management committees, model‑risk review, and internal challenge sessions.
- Support Model Risk Management, Internal Audit, and oversight groups by assembling evidence, data extracts, and explanations.
- Assist with cross‑book analytical work across banking‑book and trading‑book interest‑rate and credit‑spread risk.
- Contribute to enhancements in risk‑factor modelling, scenario design, sensitivities, and stress testing.
- Work with Global Markets Risk teams on market‑data analysis, curve construction, and spread analytics.
- Collaborate with CMAO, Treasury, Model Risk Management, and regional teams.
- Communicate technical results clearly to colleagues with varying quantitative backgrounds.
- Manage multiple workstreams and deliver high‑quality work within timelines.
Qualifications & Experience
- Advanced degree in a quantitative discipline.
- 3–6 years of experience in IRRBB/CSRBB, ALM, market risk, model development, or related analytics.
- Working experience with QRM.
- Strong analytical and programming skills in Python, R, or similar.
- Understanding of IRRBB/CSRBB regulatory expectations.
- Ability to produce clear technical documentation.
Desirable
- Exposure to trading‑book market‑risk analytics or derivative pricing.
- Experience supporting model validation or audit.
- Familiarity with risk‑factor modelling, sensitivity calculations, or scenarios.
- Experience handling large and complex market‑data sets.
Soft Skills
- Strong written and verbal communication skills.
- Curiosity and willingness to grow across banking‑book and trading‑book risk domains.
- High attention to detail and organisational skills.
- Ability to work in dynamic environments.
Equal Opportunity Employer
State Street is an Equal Opportunity Employer. We consider all qualified applicants for all positions without regard to race, creed, color, religion, national origin, ancestry, ethnicity, age, disability, genetic information, sex, sexual orientation, gender identity or expression, citizenship, marital status, domestic partnership or civil union status, familial status, military and veteran status, and other characteristics protected by applicable law.
Job ID: R-782848
#J-18808-Ljbffr…