Morningstar Sustainalytics · 14 hours ago
Assistant Vice President, Quant Credit Modelling, Structured Finance Analytics
New York
Full-time
Hybrid
Mid Level
$98K/yr - $158K/yr
4+ years expMorningstar DBRS is a global credit ratings business that empowers investor success through innovative technology. The Quant Analyst will execute proprietary research to build credit rating models and collaborate with various teams to create leading-edge models for assessing credit risk.
Financial Services
Responsibilities
Support rating methodology development and participate in the implementation of quantitative models such as credit predictive models
Maintain and enhance proprietary Python and R libraries related to model building
Leverage structured and unstructured datasets to build new Quant frameworks to assist analysts in informed decision making
Assisting development of Analytics-based solutions, taking ownership of the design and development of solutions to scale information ingestion, storage, computation (training/inference), validation
Participate in analyst conversations for understanding ongoing analyst issues
Qualification
Required
Postgraduate degree in mathematics, quantitative finance, financial engineering, statistics or physics is highly desired
4 - 7 years of investment research, structured products, asset backed finance, credit modelling or rating agencies experience with emphasis on fixed income research / analysis
Coding skills in a major programming language (Python, C/C++ or C#) or SAS / R / MATLAB
Strong Knowledge of probability theory, numerical analysis and stochastic calculus
Strong Knowledge of numerical methods (numerical integration, Monte Carlo simulation, root-finding and general optimisation techniques)
At least 2 years of experience in US RMBS defaults and losses modelling. Other asset classes within Structured Finance (ABS, CLOs) are also acceptable
Preferred
Ability to perform rigorous data analysis on large datasets
Exposure to main Python packages for numerical computing and Machine Learning / Data Science (NumPy, Pandas, Scikit-Learn and SciPy)
Experience developing applications on cloud (AWS preferably)
Understanding of both business and technical requirements, and the ability to serve as a conduit between technical and non-technical departments
Benefits
100% 401k match up to 6% of salary
Stock Ownership Potential
Company provided life insurance - 1x salary + commission
Comprehensive health benefits (medical/dental/vision) including potential premium discounts and company-provided HSA contributions (up to $500-$2,000 annually) for specific plans and coverages
Additional medical Wellness Incentives - up to $300-$600 annual
Company-provided long- and short-term disability insurance
Trust-Based Time Off
6-week Paid Sabbatical Program
6-Week Paid Family Caregiving Leave
Competitive 8-24 Week Paid Parental Leave
Adoption Assistance
Leadership Coaching & Formal Mentorship Opportunities
Annual Flex Stipend - $1000 annually to cover personal education & well-being expenses
Tuition Reimbursement
Charitable Matching Gifts program
Dollars for Doers volunteer program
Paid volunteering days
15+ Employee Resource & Affinity Groups
Company
Morningstar Sustainalytics
Morningstar Sustainalytics is a leading independent ESG and corporate governance research, ratings and analytics firm that supports investors around the world with the development and implementation of responsible investment strategies.
1001-5000 employees
Funding
Current Stage
Late StageRecent News
2024-04-25
2024-04-25
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