Portfolio Credit Risk Modeler
Job Summary
Joining a high-impact team, the full-time Associate - Portfolio Credit Risk Modeler will develop a multi-year stochastic credit risk model for specialty finance underwriting and collaborate across various teams to enhance analytical solutions in a remote work environment.
Key responsibilities:
- Develop a Merton-approach, multi-year stochastic credit risk model for corporate bonds and structured assets
- Conduct research on credit default history and establish model assumptions and limitations
- Design and execute model validation while mentoring junior-level credit risk analysts
Required qualifications:
- Experience in portfolio credit risk modeling, including Merton models and Gaussian copula frameworks
- Deep understanding of credit default behavior and risk cycles
- Proficiency in programming languages such as Python or MATLAB for Monte Carlo simulation models
- Working knowledge of insurance investment portfolio risk and statutory capital frameworks
- Preferably 5+ years of experience in quantitative risk modeling
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