About the Role
DBRS Morningstar is seeking a quantitative analyst (credit risk model reviewer) to join its Independent Review Function (IRF) team as an Assistant Vice President.
The role is based in New York, Madrid or Toronto.
Reporting to the Head of IRF, the individual will have lead and backup analyst responsibilities on a portfolio of mainly predictive models and occasionally analytical tools, as well as Structured Finance and Corporate methodologies.
The analyst will be required to have a solid knowledge of credit risk model development and/or validation, working knowledge of several coding languages and data science stack, a general knowledge of Structured Finance products - with an emphasis on residential and/or CRE loans and related risk drivers - strong analytical, research and writing skills, organizational abilities, heightened attention to detail and an inquisitive mind.
The analyst will prepare IRF committee presentations, reports and related topical research.
Job Responsibilities Conducting independent ongoing review and challenge of a portfolio of predictive models and analytical tools in the capacity of primary IRF analyst:Become familiar with existing model (and methodology) and past IRF review materialInteract with Predictive Model Development Team and review model proposal as well as support material providedIndependently research, collect and compile support material as appropriateFacilitate and coordinate IRF discussion groups and IRF committee processCoordinate approval from/notification to the board, where applicableMaintain records as appropriateSuccessfully meet the target review dateCooperate with other IRF analysts in the review of their assigned models/methodologiesConduct and cooperate in the independent review and validation of new and materially changed modelsDiscuss and contribute to the assessment of materiality of the changesWork with project planning managers, predictive model/methodology development team and other stakeholdersRepresent DBRS Morningstar with external stakeholdersCommunicate with the regulator, as appropriateParticipate in key industry conferences as instructedCreate, populate and deliver management and board reportingSupport the MDs/SVPs/VPs of the IRF with planning, managing and execution of IRF activities Qualifications Background in a technical discipline (Statistics, Mathematics, Quantitative Finance or related fields)5+ years of hands-on experience and solid skills in credit risk/securitization modelingExperience reviewing and/or developing models in a similar environmentExperience with: R, R Shiny and/or SAS, use of Jupyter notebooks to communicate results, working knowledge of Python data science stack (numpy, pandas, sci-kit learn, Tensorflow)Strong math, logic, and problem-solving skillsExceptional written and oral communication skills in addition to strong presentation and relation skillsAbility to challenge technical conceptsAbility to communicate technical concepts in non-technical jargon to senior stakeholdersEnthusiasm for new challenges, using advanced techniques and creativity to find novel solutionsWorking knowledge of GitHub or similar version control systemsVery good knowledge of the English language Nice to have Fluency in a second EU language a plusChartered Financial Analyst designation a plusExperience performing data science within the fixed income space a plus About Us
DBRS Morningstar is a global credit ratings business, currently with 700 employees in eight offices globally.
Formed through the July 2019 acquisition of DBRS by Morningstar, Inc., the ratings business is the fourth-largest provider of credit ratings in the world.
DBRS Morningstar is committed to empowering investor success, serving the market through leading-edge technology and raising the bar for the industry.
DBRS Morningstar is a market leader in Canada, the U.S. and Europe in multiple asset classes.
DBRS Morningstar rates more than 2,600 issuers and 54,000 securities worldwide and is driven to bring more clarity, diversity of opinion, and responsiveness to the ratings process.
DBRS Morningstar's approach and size provide the agility to respond to customers' needs, while being large enough to provide the necessary expertise and resources.
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