Senior Associate - Credit Risk Modeling
Job Summary
Leading the development of a multi-year stochastic credit risk model, the full-time Senior Associate - Credit Risk Modeling will collaborate with specialty finance teams to enhance underwriting processes and influence product pricing, while working remotely.
Key responsibilities:
- Develop a Merton-approach, multi-year stochastic credit risk model for various asset classes
- Conduct research on credit default history and establish model assumptions and limitations
- Guide junior analysts and strengthen the credit risk modeling function within the organization
Required qualifications:
- Experience in portfolio credit risk modeling, including Merton models and Gaussian copula frameworks
- Deep understanding of credit default behavior and migration dynamics
- Proven modeling and programming skills in Python, MATLAB, or similar languages
- Working knowledge of insurance investment portfolio risk and capital frameworks
- Preferably 5+ years of experience in quantitative risk modeling
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