About the Role
The Credit Risk Management role participates in developing, implementing and validation of global risk quantitative and analytic models to support efforts to minimize risk. Working under limited supervision, the Quantitative Risk Management Analyst provides risk management support for the business in key risk identification, measurement, and aggregation; and the understanding and management of risk through appropriate practices and processes.
Responsibilities
- Assists with developing and/or reviewing models to support identification and review of risk issues, risk metrics and risk exposure.
- Applies established risk metrics and risk tolerance guidelines and policies.
- Develops processes for effective and efficient reporting and data analysis to minimize risk exposure.
- Ensures data inputs to models are valid and appropriate.
- Supports the risk management system and regularly communicates material risk issues, risk metrics, and risk exposure resolutions.
- Contributes to explanations of quantitative risk management policies and procedures to ensure timely and transparent communication.
Key Duties & Responsibilities
- Credit Oversight, Reviews and Methodology
- Perform independent credit risk rating reviews of obligors including private corporate obligors, residential and commercial mortgage loans, securitized bonds, and individual debt securities.
- Conduct and establish scope and frequency of portfolio sampling for independent rating reviews to ensure proper execution across both randomly and manually selected obligors and securities.
- Support the evaluation of rating assignment and update processes undertaken by analysts for both public and private obligors and securities to determine consistent and proactive credit risk monitoring.
- Monitor portfolio performance to gauge migration trends, consistency, and default characteristics across the investment portfolio.
- Ensure consistency, accuracy, and timeliness of internal credit ratings through systematic review processes.
- Review and monitor internal credit risk rating models to ensure robustness and accuracy and perform model validation tests and annual model confirmation as required by Model Risk Management (MRM).
- Assist in the completion of annual MRM requirements including confirmation reports, revalidation tests, and responding to queries per defined cadence.
- Customize or recalibrate models and update model documentation when needed.
- Work collaboratively with IT teams to ensure data assurance, data aggregation, and data validation for credit risk models and analyses.
- Analyze large datasets to identify trends, patterns, and correlations that impact credit risk.
- Recommend technology-based tools and product enhancements to perform credit and statistical data analysis more accurately and efficiently.
- Assist in the design of obligor/securities review memos, reports, and other documentation.
- Prepare and update Standard Operating Procedures (SOPs) and manuals to cover credit risk activities.
- Generate accurate and timely credit risk reports for multiple stakeholders, including management and internal auditors.
Qualifications
- Required Education: Master's degree in Finance, Statistics, Mathematics, Engineering, Quantitative Finance, or related field.
Required Skills
- over all 10 years- 15 years experience with 7+ years in credit risk quantitative analysis or credit risk oversight roles.
- Experience working in Banking, Investment Banking, Credit Rating Agency, Asset Management, or Insurance firm.
- Proven track record of model development, validation, and calibration activities.
- Experience with both public and private credit markets.
Preferred Skills
- Technical Skills:
- Experience with credit risk vendor models such as Moody's EDF-X, CMM, RiskCalc, or MPA.
- Proficiency in programming languages including Python, SQL, R, MATLAB, or equivalent tools is an advantage.
- Strong coding capabilities for model development, testing, and data validation and proficiency in database management and data validation techniques.
- Understanding of credit risk metrics including PD (Probability of Default), LGD (Loss Given Default), and EAD (Exposure at Default).
- Knowledge of credit rating methodologies and rating migration analysis.
