Credit Risk Manager and Modeler - (US-CA-Greater Los Angeles)

Credit Risk Manager and Modeler - (US-CA-Greater Los Angeles)

Compensation: $300K - $300K / Year
Minimum Education: Doctorate
Job Type: Full Time
Jobcode: WJKJA2

PAID RELOCATION AVAILABLE

Will be main risk resource for corporate credit risk modeling, covering high yield and investment grade instruments; credit default swaps; correlated defaults in structures; losses given default; and correlated recoveries. Will be responsible for creating or vetting valuation models instruments with corporate credit risk (including spread and default risk) The Company’s high yield, bank loan, hybrid, and investment grade corporate credit instruments at all levels of the capital structure.

At least five years' experience as a “desk quant,” trader, trade analysis support, risk manager, portfolio analyst, or portfolio manager. Experience with model development, testing, and implementation, preferably experience with SAS, Matlab, FinCad or other modeling/statistical software. A detailed understanding of fixed income markets, trading and/or portfolio management processes, practical business applications and ability to articulate ideas and develop recommendations under uncertainty and regarding "grey areas", and ability to obtain data and information from disparate sources, link and analyze the information, perform data integrity checks, and conduct analys

Experience with as many of the following as possible is desirable: Quantitative default modeling. Reduced form and structural models. Modeling spread movements and correlations. Implied defaults from cash bond and CDS curves; basis risk. Modeling bond covenant and capital structure effects on volatility. Modeling correlated defaults and recoveries. Calculation of counterparty current exposure (CE) and potential future exposure (PFE).

Email resume in Word to TheBigGameHunter@cisny.com. Please include the job code for the position with your resume.

NO VISA TRANSFERS. NO OVERSEAS RESUMES. NO 3RD PARTIES.

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