Senior Quantitative Modeler (NY)

Position Title: Senior Quantitative Modeler (NY)

Entity: KBRA, LLC.

Employment Type: Full-time

Location: New York

Summary/Overview:

KBRA (Kroll Bond Rating Agency, LLC) is seeking for a Senior Quantitative Modeler with experience in building and maintaining credit risk models.  The role will support credit analysis across several credit rating sectors and is located in our New York office.

Job Responsibilities:

• Support credit rating analysts by building and maintaining quantitative models for credit risk assessment.
• Assist in the development and publication of rating methodologies and market commentaries.
• Mentor junior members of the Quantitative Modeling team.
• Engage with Model Risk Management to comply with internal policies and procedures

Successful candidates will possess the following:

• Five (5) or more years of experience in applied data analysis & model building in an industry setting such as a rating agency or a regulated bank.
• Advanced degree in a technical or quantitative discipline, like statistics, mathematics, physics, electrical engineering, or computer science.
• Expertise in a wide range of credit risk models and the modeling of bond structures and cash flows.
• Experience building Portfolio Credit Default Models and estimating their parameters.  (Merton Model, Monte Carlo Model, etc.)
• Understanding of the appropriate application of statistical methods and the risks inherent in their misuse.
• Experience researching mathematical and analytical techniques to evaluate performance of credit rating models.
• Working knowledge of common data science programming languages such as Python, R or SQL.
• Knowledge of data science collaboration strategies, including code management using Git and agile software development practices.
• Experience writing clear and concise model documentation that justifies modeling choices and demonstrates model performance for audit and regulatory audiences.
• Comfort presenting complex quantitative concepts to both technical and non-technical audiences.
• Ability to collaborate with technology teams and subject matter experts to deliver high quality models.

Salary Range:

The anticipated annual base salary range for this full-time position is $150,000 to $200,000. Offer amounts are determined by factors such as experience, skills, geography, and other job-related factors.

Benefits:

• A hybrid work schedule (Tuesday, Wednesday, Thursday in office)
• Competitive benefits and paid time off
• Paid family and disability leave
• 401(k) plan, including employer match (100% vested)
• Educational and professional development financial assistance
• Employee referral bonus program
• Cell phone reimbursement

About Us:

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

More Info:

KBRA encourages applications from all qualified individuals without regard to race, color, religion, gender, sexual orientation, gender identity or expression, age, national origin, marital status, citizenship, disability, and veteran status or any other basis prohibited by federal, state or local law.

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