Portfolio Credit Risk Modeler

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