MassMutual is looking to solve the business problem of effectively identifying, measuring, and mitigating credit risks by bringing in a quantitative risk developer with strong analytical expertise and understanding of credit risk/investment risk modeling, data, and infrastructure.
Requirements
- 5+ years of experience with expertise in Python, SQL and development skills in object-oriented programing
- 5+ years of experience with strong quantitative model development & implementation skills and ability to validate/understand and explain analytical results
- 5+ years of experience in quantitative risk modeling across a wide range of asset classes
- 3+ years of experience with ability to engage with operational work in production environment with IT developers/solution architects in maintaining infrastructure
- 5+ years of experience with 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
Responsibilities
- Implement, develop and enhance ERM’s analytical capabilities related to credit/market risk across a wide range of fixed income asset classes
- Building on MassMutual’s current approach, 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. Also, use of 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
Other
- Bachelors degree in Computer Science, Financial Engineering, Mathematics, Physics, Engineering or similar quantitative discipline
- Minimum 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
- Regular meetings with the Quantitative teams within ERM, Investment management & ETX project teams
- Focused one-on-one meetings with your manager
- Networking opportunities including access to Asian, Hispanic/ Latinx, African American, women, LGBTQ, Veteran and disability-focused Business Resource Groups
