Quantitative Risk Developer

MassMutual • New York, NY

193d • $128,000 - $168,000 • Remote

About The Position

This is an exciting opportunity for a highly motivated and collaborative risk professional with strong quantitative and development expertise to join the Credit Risk Management team within the Capital and Investment Risk Management team and the broader Enterprise Risk Management division. As a quantitative risk developer within the Capital & Investment Risk Management team, you will be responsible for leading quantitative model implementation, development, and analysis. The ideal candidate will join a quant team to enhance Enterprise Risk Management (ERM)'s analytical and reporting capabilities, by expanding the use of existing models as well as designing and developing new tools and risk frameworks. You will work with capital, credit, market and portfolio risk teams, and ERM more broadly. This is an excellent opportunity to collaborate with risk, investment and finance, and enterprise technology (including data science) teams.

Requirements

• A bachelor degree in a quantitative discipline.
• 8+ years of relevant work experience with 5 years in investment (credit/market) quantitative risk analytics OR 5 years of relevant work experience in investment (credit/market) quantitative risk analytics combined with graduate studies.
• 1+ years of experience in Python and SQL and development skills in object-oriented programming.

Nice To Haves

• 7+ years of relevant work experience in investment (credit/market) quantitative risk analytics is desirable.
• Advanced degree in Computer Science, Financial Engineering, Mathematics, Physics, Engineering or similar quantitative discipline is preferred.
• Strong quantitative model development & implementation skills and ability to validate/understand and explain analytical results.
• Experience in quantitative risk modeling across a wide range of asset classes.
• Ability to engage with operational work in production environment with IT developers/solution architects in maintaining infrastructure.
• Desire to use quantitative and programming skills in a hands-on setting to deliver new functionality.
• Knowledge and experience working with derivatives and hedging risk management.
• Experience in using Moody's Analytics credit risk tools is desirable.
• Experience in CECL compliant portfolio credit models.
• Experience applying machine learning techniques in the financial industry is desirable.
• Software development using GitHub and Docker, adhering to enterprise standards and best practices ensuring models are validated and governed.
• Previous experience working on liability-driven investing projects within an insurance company is desirable.

Responsibilities

• Implement, develop and enhance ERM's analytical capabilities related to credit/market risk across a wide range of fixed income asset classes.
• Assist in developing and syndicating a comprehensive framework for measuring portfolio credit & market risk, that considers different accounting and capital regimes, including asset and liability impacts, with a particular emphasis on economic capital.
• Automate and expand the use of Moody's credit risk tools in place today and build risk-reward framework.
• Use of Python/SQL, spreadsheets, and VBA to prototype and analyze data including data investigation/cleanup.
• Strengthen ERM's use and development of tools and analytics to support derivatives counterparty risk, portfolio concentration risk & stress testing capabilities.
• Mentor junior quantitative analysts.
• Scope and implement modeling, including building out requirements where not yet fully defined or understood.

Benefits

• Competitive salaries, along with incentive and bonus opportunities.
• Access to mentorship opportunities.
• Networking opportunities including access to various Business Resource Groups.
• Access to learning content on Degreed and other informational platforms.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Industry: Insurance Carriers and Related Activities
• Education Level: Bachelor's degree