Senior Associate - Portfolio Credit Risk Modeling
Core
Lead the development of a multi-year stochastic credit risk model (Merton approach) for specialty finance underwriting, including corporate bonds, commercial mortgage loans, and structured assets.
Role type
Senior Associate, Portfolio Credit Risk Modeling
Builds
Production-ready stochastic credit risk models and analytical frameworks for specialty finance underwriting
Domain
Insurance / Specialty Finance / Credit Risk
Deliverable
production ML models
Required skills
Portfolio credit risk modeling (Merton models, Gaussian copula), Monte Carlo simulation, Python/MATLAB, credit default/migration analysis, asset and risk characteristics of structured assets, model validation
Preferred skills
CFA, FRM, actuarial credentials (FSA/FCAS), 5+ years in quantitative risk modeling
Technologies
Python, MATLAB, Monte Carlo simulation
Responsibilities
Develop multi-year stochastic credit risk models for corporate bonds and structured assets; conduct research on credit default history and risk cycles; design and execute model validation; build analytical frameworks linking assumptions to outputs; guide junior-level credit risk analysts
Seniority
Senior, hands-on IC