About the position
Responsibilities
• Implement, develop and enhance ERM's analytical capabilities related to credit/market risk across a wide range of fixed income asset classes.
• Assist in developing and syndicating a comprehensive framework for measuring portfolio credit & market risk, that considers different accounting and capital regimes, including asset and liability impacts, with a particular emphasis on economic capital.
• Automate and expand the use of Moody's credit risk tools in place today and build risk-reward framework.
• Use of Python/SQL, spreadsheets, and VBA to prototype and analyze data including data investigation/cleanup.
• Strengthen ERM's use and development of tools and analytics to support derivatives counterparty risk, portfolio concentration risk & stress testing capabilities.
• Mentor junior quantitative analysts.
• Scope and implement modeling, including building out requirements where not yet fully defined or understood.
Requirements
• A bachelor degree in a quantitative discipline.
• 8+ years of relevant work experience with 5 years in investment (credit/market) quantitative risk analytics OR 5 years of relevant work experience in investment (credit/market) quantitative risk analytics combined with graduate studies.
• 1+ years of experience in Python and SQL and development skills in object-oriented programming.
Nice-to-haves
• 7+ years of relevant work experience in investment (credit/market) quantitative risk analytics is desirable.
• Advanced degree in Computer Science, Financial Engineering, Mathematics, Physics, Engineering or similar quantitative discipline is preferred.
• Strong quantitative model development & implementation skills and ability to validate/understand and explain analytical results.
• Experience in quantitative risk modeling across a wide range of asset classes.
• Ability to engage with operational work in production environment with IT developers/solution architects in maintaining infrastructure.
• Desire to use quantitative and programming skills in a hands-on setting to deliver new functionality.
• Knowledge and experience working with derivatives and hedging risk management.
• Experience in using Moody's Analytics credit risk tools is desirable.
• Experience in CECL compliant portfolio credit models.
• Experience applying machine learning techniques in the financial industry is desirable.
• Software development using GitHub and Docker, adhering to enterprise standards and best practices ensuring models are validated and governed.
• Previous experience working on liability-driven investing projects within an insurance company is desirable.
Benefits
• Competitive salaries, along with incentive and bonus opportunities.
• Access to mentorship opportunities.
• Networking opportunities including access to various Business Resource Groups.
• Access to learning content on Degreed and other informational platforms.
Apply Now
Apply Now