Credit Risk Modeler recruitment
The successful candidate will be the firms main risk resource for corporate credit risk modeling, covering high yield and investment grade instruments; credit default swaps; correlated defaults in structures; losses given default; and correlated recoveries. He or she will be responsible for creating or vetting valuation models instruments with corporate credit risk (including spread and default risk) for high yield, bank loan, hybrid, and investment grade corporate credit instruments at all levels of the capital structure. In addition, the successful candidate will be expected to understand strategies for generating credit alpha and for dealing with corporate credit risk on a more qualitative level, and to have extensive practical experience with high yield, bank loan, hybrid and other credit instruments in a trading and/or portfolio management environment. The risk manager/modeler will work with the portfolio management area to structure portfolios and to provide an independent view of portfolio risk. Although the role is not primarily a policing role, the risk manager/modeler will be expected to escalate risk issues where he or she feels the risk/reward tradeoffs are not appropriate.
Experience with as many of the following as possible is desirable: Quantitative default modeling. Reduced form and structural models. Modeling spread movements and correlations. Implied defaults from cash bond and CDS curves; basis risk. Modeling bond covenant and capital structure effects on volatility. Modeling correlated defaults and recoveries. Calculation of counterparty current exposure (CE) and potential future exposure (PFE).
The successful candidate will have a Ph.D. or Master's degree in a quantitative discipline with a minimum of at least five years' experience as a “desk quant,” trader, trade analysis support, risk manager, portfolio analyst, or portfolio manager. Experience with model development, testing, and implementation, preferably experience with SAS, Matlab, FinCad or other modeling/statistical software. A detailed understanding of fixed income markets, trading and/or portfolio management processes, practical business applications and ability to articulate ideas and develop recommendations under uncertainty and regarding "grey areas", and ability to obtain data and information from disparate sources, link and analyze the information, perform data integrity checks, and conduct analysis
This role offers and outstanding compensation and benefit plan. Relocation package is available if required.