Junior Quantitative Credit Risk Analyst, Investments Risk recruitment

This position will report to the Quantitative Credit Risk Team Leader and support the Investments Risk Team in the development of quantitative models to help manage and monitor the investment portfolio while providing support to Asset Management, Portfolio Management and other teams throughout the Investments organization.

RESPONSIBILITIES
• Ongoing evaluation of credit risk models and measurement systems for integration into fixed income investment strategies and capabilities
• Support Asset Management and Risk Management counterparts in the application of Credit VaR and concentration analysis
• Assist in the monitoring of portfolio concentrations and exposures to various sectors, securities, duration levels and changes in yield curve.
• Perform scenario analyses including stress testing, sensitivity and worst case to assess portfolio exposure to credit/market factors.
• Assist in the adoption of state of the art analytical techniques/systems within risk and throughout the Organization.

BASIC QUALIFICATIONS
• Masters Degree in a quantitative discipline (statistics, engineering, math)
• 2+ years of experience, working with fixed income models in an investment, trading or risk management function
• Familiarity with credit risk models
• Demonstrated credit evaluation capability in an investment management setting
• General knowledge of investment products, strategies and markets
• Exemplary quantitative capabilities and demonstrated analytical skills
• Proficiency with Excel, Powerpoint, Virtual Basic Application

PREFERRED QUALIFICATIONS
• Insurance or buy-side experience
• Masters Degree in Financial Engineering
• Demonstrated expertise in fixed income instruments, including derivatives
• Familiarity with Kamakura (KRM and KRIS) credit models
• Database knowledge, including SQL

Please post for job number INV13561 at http://www.genworth.com/employment