Credit Strategy and Standards
The Credit Strategy and Standards team at Moody's Investors Service is a group of professionals who oversee the general credit policies and rating methodologies for the rating agency, and publish rating performance research.
We are looking for a financial engineer to join our Model Development Team, which is responsible for all the models and scorecards used in the rating process. The duties of the financial engineer include:
Working with different lines of business and the Methodology Framework group to design Credit Rating Models for Structured Finance (for example ABS and RMBS)
Build asset models that accurately reflects the existing methodology requirements.
Read Indentures of complex ABS deals and building the corresponding cash flow models
Developing and maintaining models used in the rating process;
Performing data analysis on big data sets, back-tests and developing analytical projects to assess the ability of financial models and data calibrations to assess credit risk.
Assisting with ad-hoc quantitative projects to update and improve the rating process (structured finance simulations, macroeconomic projects, etc.).
Publish research and participate in professional training for the analytical staff.
The position requires collaboration with the rating teams, the Methodology Framework group, the Model Verification team, the Methodology Review Group and IT groups.
PhD in Mathematical Finance, Financial Engineering, Applied Mathematics, Econometrics, Statistics, Finance, or related fields
Up to 3 years of overall experience in modeling – experience in credit risk, econometrics, information economics, cash flow models (waterfalls), credit derivatives or structured finance a strong plus Experience may be gained through employment or academic study
Understanding of model development including identification of key credit risks & asset characteristics, model design and implementation
Working knowledge of at least two of the following technologies: Matlab, R, SQL, VBA, C++
Able to explain technical concepts to model users
Hardworking, attention to details, easy to work with, a willingness to learn new technologies, and strong work ethics
For San Francisco positions, qualified applicants with criminal histories will be considered for employment consistent with the requirements of the San Francisco Fair Chance Ordinance. For New York City positions, qualified applicants with criminal histories will be considered for employment consistent with the requirements of the New York City Fair Chance Act. For all other applicants, qualified applicants with criminal histories will be considered for employment consistent with the requirements of applicable law.
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