Credit Risk Mgt Quant

Create credit, securitized product, and portfolio models for high yield and distressed debt hedge fund.

• Classify credit exposures --- quality, industry, maturity, region. 

• Build pricing mechanism for illiquid securities between timely marks.

• Construct analyses of CLO and other securitized structures.

• Develop joint default probability models for portfolios of securities. 

• Implement valuation and risk management models and tools.

• Measure positions to interest rates, credit, and macro events.

• Communicate results in concise prose and clear graphics. 

• Monitor effectiveness of valuation and risk models.

• Collaborate with portfolio managers to advise mitigating risk.

• Portfolio construction and optimization for senior management. 

Familiar with credit, structured products, and portfolio credit risk models. 

Strong math and financial engineering. 

Masters required, PhD preferred.

Statistical packages such as Matlab, SAS, S+, and C++.

5+ years experience. 

Credit analysis experience definite plus.