Quantitative Risk Developer
About the positionResponsibilities• 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 tot his job