The incumbent will be a member of the Risk Analytics group, which is responsible for developing quantitative methodologies to measure credit, operational, and other risks for regulatory capital calculation under Basel III and is expected to develop quantitative models to measure PD, LGD, or operational risk.

Specific duties include the following:
-- Evaluating the pros and cons of alternative statistical and econometric modeling methodologies and selecting the best approaches that comply with applicable regulations.
-- Managing large and complex data sets using statistical tools and database technologies.
-- Writing technical documentation.
-- Presenting results of work to senior management.
-- Interacting with various internal and external stakeholders including the business areas, Corporate Audit, Model Validation, Finance, and the Federal Reserve Board.

Qualifications:
-- Advanced degree in finance, economics, statistics, or a related field and 2 to 4 years of relevant work experience (relevant PhD degree can substitute for some or all of the work experience).
-- In-depth understanding of multivariate statistics.
-- Experience modeling credit risk for financial institutions.
-- Knowledge of a statistical or analytical modeling language such as Matlab, SAS, Stata, or R.
-- Experience working with large and complex data sets.
-- Strong written and verbal communication skills.
-- Knowledge of operational risk is a plus.

Please contact PStrassberg@statestreet.com