VP-Quant Modeler recruitment
Department
Moody's Research Labs (MRL), a business unit within Moody's, is seeking a VP Quant Modeler. Moody's Research Labs www.moodysresearchlabs.com is a new central research and development group. The group will operate in a flexible, dynamic "start-up" mode. Its goal is to incubate new business opportunities outside of core businesses of MIS (Moody's Investor Services, the ratings arm) and MA (Moody's Analytics, the consulting and Expected Default Frequency prediction arm) as well as explore cross-franchise opportunities for integration and IP sharing.
MRL consists of two groups, Research and Implementation. The position is in the Research group, which has 9 people almost all of them with a Ph.D. degree. This group develops economic models to characterize the risks associated with portfolios of various asset classes, including residential mortgages, corporates and auto loans. Subsequently a prototype is built that is then converted into a commercial product by the Implementation group.
Responsibilities
-This is a hands-on position to conduct quantitative applied research.
-Develop prototype models that quantify credit risks across various asset classes including mortgages, consumer loans, and corporate debt.
-Perform all stages of model development including data cleaning, conceptualizing and estimating a suitable model, testing different hypotheses using packages such as S-plus or MATLAB.
-Communicate model specifications to the implementation group.
-Author technical research publications.
-Present results to internal and external audiences.
Qualifications
-Ph.D. in Economics, Finance, Statistics, or Econometrics
-4+ years of post-doctoral work experience as a Quantitative Analyst or in academia
-at least two years of experience using one of the following: MATLAB, S-plus, R or STATA
-a clear understanding of the fundamentals of different statistical estimation methods, including time series and survival modeling
-hands-on experience in working with data, and an appreciation of practical data and estimation problems
-good economic intuition
-ability to coherently explain a macroeconomic or microeconomic phenomena to an economist
-ability to communicate ideas verbally and in writing
-exposure to modeling credit risk
Equal Employment Opportunity
Moody's Corporation is committed to equal opportunities and diversity in its recruitment practices. We welcome applications from all sections of the community and are dedicated to the fair and equal treatment of potential and existing employees, candidates and clients regardless of sex, marital status, ethnic origin, religion, disability, sexual orientation, age or any other characteristic protected by law.
