Assured Guaranty
Risk and Quantitative - Analyst/Associate
Assured Guaranty, New York, New York, us, 10261
Position Summary
Assured Guaranty is seeking a Risk Analyst to join the Economic Capital and Portfolio Risk Management Group in the Risk Management Department. The Analyst - Associate will be responsible for the following tasks:modeling including credit risk and data in the financial guaranty marketanalyses including risk attribution, scenario, stress, and sensitivitylimit measuring and monitoring including single risk, sector risk and portfolio riskpreparation of reports including risk, strategic planning, and enterprisecoding in Matlab, Python, and RPosition Description
Responsibilities
Risk Modeling
Develop internal credit risk tools from, not limited to, the economic capital perspective using methodologies such as simulations and variance/covariance in the public finance, infrastructure finance, and structured finance sectorsAnalyze and interpret complex datasets to support the risk management team on economic capital and environmental perspectivesImplement new data models, internal credit risk tools, and algorithms developed in Matlab, Python, and RModify and generate new stress test scenario models to quantify capital adequacy, liquidity, leverage ratiosWork with spatial data to provide insights into rational challenges regarding the environment and obligors' resilienceIncorporate climate risks in credit risk modelsAdapt the risk models to the latest market and risk environmentsModel and monitor other risks including counterparty, downgrade, market, operations, enterpriseMonitor credit risk trends with respect to credit, sector, concentration, country, and portfolio risk tolerancesDevelop and implement stress and scenario testing for capital adequacy, liquidity, and leverage ratio testsIntegrate various risks including credit, climate, strategic, market, and operationsResearch and Monitoring
Routinely monitor market and emerging data to determine portfolio risks, model implications, and strategic risks in collaboration with Credit, Surveillance, Underwriting, and FinanceMonitor single risk limits and sector risk limits in collaboration with the Credit DepartmentMaintain system data integrity, accuracy, and consistencyTake ownership for accuracy, integrity and completeness of data, risk measures and report contentsAdapt the internal or external tools to the latest and engineering environmentsComplete analysis and, where appropriate, prepare written reviews of risksPerform internal model testing and validationDevelop and maintain understanding of the key risk attributes of the portfolios for the different Assured companiesPerform risk analysis and produce reports for senior management and the BoardResearch loss reduction, hedging tools, and emerging toolsOther Duties
Research and develop tools for quantifying and monitoring emerging risksSupport regulatory requests and reporting, as well as enterprise risk managementSupport other functions including risk mitigation, ad-hoc reporting, and analyses for other departmentsInteract with other departments including IT, Credit, Underwriting, Surveillance and TreasuryCandidate Background
Bachelor of Science degree, preferably in computer science or engineering, finance, economics, or mathematics4 to 7 years of coding experience in Matlab, Python, and R are necessary; Parallel computing skills are an assetRisk modeling and methodologies preferably in credit, as well as strategic, climate, liquidity, market, investment, and operationalAbility to apply data science, machine learning, and artificial intelligence algorithms are a plusFamiliar with object-oriented programming, user-interface coding, cloud computing, and Windows/Linux environmentExperience with spatial data analysis and GIS tools.Strong knowledge and understanding of economic principles, theories, and modelsExcellent self- and time-management skills, with willingness to work additional hours when neededAbility to work in a demanding and fast-paced environment, and meet deadlinesCritical thinker and creative developer in a multi-tasking environmentCollaborative, responsible, and meticulousStrong presentation and verbal skillsExcel, Word, and PowerPoint
Compensation
Annual base salary for the position is expected to be from $95,000 per year to $115,000 per year. The actual salary will depend on various factors, including but not limited to a candidate's experience and credentials, salary expectations of applicable candidates, and other applicable market conditions. This position also provides applicable employee benefits, as well as eligibility for an annual discretionary bonus.
Assured Guaranty is seeking a Risk Analyst to join the Economic Capital and Portfolio Risk Management Group in the Risk Management Department. The Analyst - Associate will be responsible for the following tasks:modeling including credit risk and data in the financial guaranty marketanalyses including risk attribution, scenario, stress, and sensitivitylimit measuring and monitoring including single risk, sector risk and portfolio riskpreparation of reports including risk, strategic planning, and enterprisecoding in Matlab, Python, and RPosition Description
Responsibilities
Risk Modeling
Develop internal credit risk tools from, not limited to, the economic capital perspective using methodologies such as simulations and variance/covariance in the public finance, infrastructure finance, and structured finance sectorsAnalyze and interpret complex datasets to support the risk management team on economic capital and environmental perspectivesImplement new data models, internal credit risk tools, and algorithms developed in Matlab, Python, and RModify and generate new stress test scenario models to quantify capital adequacy, liquidity, leverage ratiosWork with spatial data to provide insights into rational challenges regarding the environment and obligors' resilienceIncorporate climate risks in credit risk modelsAdapt the risk models to the latest market and risk environmentsModel and monitor other risks including counterparty, downgrade, market, operations, enterpriseMonitor credit risk trends with respect to credit, sector, concentration, country, and portfolio risk tolerancesDevelop and implement stress and scenario testing for capital adequacy, liquidity, and leverage ratio testsIntegrate various risks including credit, climate, strategic, market, and operationsResearch and Monitoring
Routinely monitor market and emerging data to determine portfolio risks, model implications, and strategic risks in collaboration with Credit, Surveillance, Underwriting, and FinanceMonitor single risk limits and sector risk limits in collaboration with the Credit DepartmentMaintain system data integrity, accuracy, and consistencyTake ownership for accuracy, integrity and completeness of data, risk measures and report contentsAdapt the internal or external tools to the latest and engineering environmentsComplete analysis and, where appropriate, prepare written reviews of risksPerform internal model testing and validationDevelop and maintain understanding of the key risk attributes of the portfolios for the different Assured companiesPerform risk analysis and produce reports for senior management and the BoardResearch loss reduction, hedging tools, and emerging toolsOther Duties
Research and develop tools for quantifying and monitoring emerging risksSupport regulatory requests and reporting, as well as enterprise risk managementSupport other functions including risk mitigation, ad-hoc reporting, and analyses for other departmentsInteract with other departments including IT, Credit, Underwriting, Surveillance and TreasuryCandidate Background
Bachelor of Science degree, preferably in computer science or engineering, finance, economics, or mathematics4 to 7 years of coding experience in Matlab, Python, and R are necessary; Parallel computing skills are an assetRisk modeling and methodologies preferably in credit, as well as strategic, climate, liquidity, market, investment, and operationalAbility to apply data science, machine learning, and artificial intelligence algorithms are a plusFamiliar with object-oriented programming, user-interface coding, cloud computing, and Windows/Linux environmentExperience with spatial data analysis and GIS tools.Strong knowledge and understanding of economic principles, theories, and modelsExcellent self- and time-management skills, with willingness to work additional hours when neededAbility to work in a demanding and fast-paced environment, and meet deadlinesCritical thinker and creative developer in a multi-tasking environmentCollaborative, responsible, and meticulousStrong presentation and verbal skillsExcel, Word, and PowerPoint
Compensation
Annual base salary for the position is expected to be from $95,000 per year to $115,000 per year. The actual salary will depend on various factors, including but not limited to a candidate's experience and credentials, salary expectations of applicable candidates, and other applicable market conditions. This position also provides applicable employee benefits, as well as eligibility for an annual discretionary bonus.