As an Assistant Director - Research in the Model Validation Team you will perform independent model validations of credit risk and other models at Moody's Analytics Enterprise Risk Solution Division. Additionally, you will participate in the evolution of model risk management at the firm, assessing model risk and presenting model validation findings and other model risk management topics to the Model Risk Management Committee.
This position provides a unique opportunity to learn about a wide variety of credit risk models, including PD and LGD models, VaR models, valuation models, stress testing models and others. This role reports to the Head of Model Validation and Governance. The person in this role will lead independent model validation projects involving assessing:
Model theory and design, data collection and preparation, specification and estimation, testing
Write reports documenting assessment, findings and recommendations
Communicate findings to developers, Model Risk Management Committee and Senior Management
Review redress to findings and recommendations
Review model performance monitoring reports
Create and communicate presentations covering model risk management topics
Actively participate in the evolution of Model Risk Management at Moody's Analytics
Enterprise Risk Solutions and Modeling Services
Master's/PhD degree (PhD preferred) in a quantitative field required (Statistics or Econometrics preferred
3 years of work experience in model development or model validation desired but not required
Credit risk modeling experience preferred, but not required. Familiarity with Moody's Analytics products (EDFs/Riskcalc/CMM/RiskFrontier) is helpful
Excellent quantitative modeling, research, and programming skills (R, Matlab, SAS)
Detail-oriented, proactive and efficient
Ability to work independently on multiple tasks
Excellent written and verbal communication skills, including effective presentation skills to multiple levels of management and associates
Effective interpersonal skills, particularly in communicating effective challenge oriented findings
Moody's is an essential component of the global capital markets, providing credit ratings, research, tools and analysis that contribute to transparent and integrated financial markets. Moody's Corporation (NYSE: MCO) is the parent company of Moody's Investors Service, which provides credit ratings and research covering debt instruments and securities, and Moody's Analytics, which offers leading-edge software, advisory services and research for credit and economic analysis and financial risk management. The Corporation, which reported revenue of $4.2 billion in 2017, employs approximately 11,900 people worldwide and maintains a presence in 41 countries. Further information is available at www.moodys.com.
Moody's is an equal opportunity employer. All qualified applicants will receive consideration for employment without regard to race, color, sex, gender, age, religion, national origin, citizen status, marital status, physical or mental disability, military or veteran status, sexual orientation, gender identity, gender expression, genetic information, or any other characteristic protected by law. Moody's also provides reasonable accommodation to qualified individuals with disabilities in accordance with applicable laws. If you need to inquire about a reasonable accommodation, or need assistance with completing the application process, please email email@example.com.. This contact information is for accommodation requests only, and cannot be used to inquire about the status of applications.
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Candidates for Moody's Corporation may be asked to disclose securities holdings pursuant to Moody's Policy for Securities Trading and the requirements of the position. Employment is contingent upon compliance with the Policy, including remediation of positions in those holdings as necessary.