Associate - Portfolio Credit Risk Modeling

Nationwide • Columbus, OH

3d • $118,000 - $222,000 • Hybrid

About The Position

Join a high-impact team at the forefront of investment risk management. You will lead the development of a multi-year stochastic credit risk model and deliver a production-ready solution to support specialty finance underwriting. Over time, this role will expand to influence pricing of other products, such as annuities. You'll collaborate across a wide range of teams, develop analytical solutions, and help Nationwide build out its specialty finance capabilities.

We're looking for someone experienced in structural credit risk modeling who is intellectually curious, eager to learn, and excited to work on meaningful challenges.

Requirements

• Experience in portfolio credit risk modeling, such as single-factor models, Merton models, and Gaussian copula frameworks
• Deep insight into credit default and migration behavior - credit risk cycles, rating migration dynamics, default probabilities, and loss recovery experience
• Strong understanding of asset and risk characteristics across corporate bonds, commercial mortgage loans, and structured assets
• Proven modeling and programming skills (Python, MATLAB, or similar) in developing Monte Carlo simulation models
• Working knowledge of insurance investment portfolio risk and statutory capital frameworks
• Strong communication skills and the ability to articulate complex modeling concepts to senior leaders
• Undergraduate studies in finance, accounting, economics, statistics, mathematics or related subject area required.
• Typically, five or more years of related work experience in financial risk modeling or actuarial functions.
• Working knowledge of machine learning, stochastic processes, Monte Carlo simulations, sampling methods and other statistical techniques applicable to specialized risk modeling.
• Prefer mathematical knowledge of specialized risk models such as those used in hedging, economic scenario generation, catastrophe, credit risk, etc.
• Solid understanding of risk management operations such as asset-liability management, portfolio risk assessment, hedging, etc.
• Proficient written and verbal communication skills.
• Intermediate proficiency with Excel and common statistical software such as R, SAS, Python, or MATLAB.

Nice To Haves

• Preferably 5+ years of experience in quantitative risk modeling
• Preferred professional designations (or progress toward them): CFA, FRM, or actuarial credentials (FSA/FCAS)
• Graduate-level studies in a related field with advanced degree highly desirable.
• Progress toward FCAS, FSA, CQF, CFA or similar preferred.
• Other criteria, including leadership skills, competencies and experiences may take precedence.

Responsibilities

• Work closely with the specialty finance team and asset managers to fully develop a Merton-approach, multi-year stochastic credit risk model for corporate bonds, commercial mortgage loans, and structured assets
• Conduct research on credit default history and credit risk cycles; set proper assumptions and clearly define model scope and limitations
• Design and execute comprehensive model validation
• Build analytical frameworks that link assumptions, inputs, and outputs to interpret modeling results clearly
• Develop and guide junior-level credit risk analysts; strengthen the credit risk modeling function into a competitive advantage
• Researches and implements financial engineering, data science and statistical techniques for risk management and business applications.
• Completes regular testing of risk limits to provide distinct management guidance on asset allocation, risk transfer and product growth decisions.
• Owns complex quantitative modeling processes and philosophies. Identifies industry standards to understand if models are working as intended.
• Collaborates to ensure that consistent model assumptions, processes and outputs are well understood and that modeling standard methodologies are upheld.
• Reviews and analyzes model output to identify model limitations and their impact. Provides corrective quantitative methods.
• Crafts and updates model documentation for business continuity purposes.
• Collaborates to develop creative solutions to business problems.
• Acts as the technology owner for Risk Analytics.
• May perform other responsibilities as assigned.

Benefits

• medical/dental/vision
• life insurance
• short and long term disability coverage
• paid time off with newly hired associates receiving a minimum of 18 days paid time off each full calendar year pro-rated quarterly based on hire date
• nine paid holidays
• 8 hours of Lifetime paid time off
• 8 hours of Unity Day paid time off
• 401(k) with company match
• company-paid pension plan
• business casual attire

What This Job Offers

• Job Type: Full-time
• Career Level: Entry Level
• Education Level: Associate degree