Sr Quantitative Analyst – Credit Risk

  • MetLife
  • US - NJ - Whippany
  • 1 week ago

Company Name: MetLife

Location: Whippany, NJ, US - 7981

Job Duration: 2022-01-13 to 2022-02-12

Overview

Role Value Proposition: 

 

Global Risk Management (GRM) oversees MetLife’s financial and non-financial risks to support responsible growth and ensure we deliver on our promises to customers and stakeholders. GRM accomplishes this through proactive advice, through independent and effective challenge, and through implementation and enforcement of guardrails. This position is responsible for supporting and leading some activities related to Credit Risk capital modeling, limit setting, and varying levels of Management and Board reporting. This position reports directly to MetLife’s Head of Credit Analytics and Reporting. The primary role of the credit analytics group is to measure capital required to protect MetLife from insolvencies due to simultaneous credit events of multiple investments. Credits Analytics is also responsible for forecasting stressed credit losses. 

 

The candidate will demonstrate solid quantitative skills, have a reasonable understanding of financial models, and the ability to understand investment risk related business areas. The successful candidate can work independently and must be motivated to understand new technology and businesses and be able to work in a fast-paced environment. The position will require collaboration with other Business areas (e.g., IT, Investments, Finance).

   

Key Responsibilities:

 

  • Quantify, monitor and analyze the organization’s exposure to credit and counterparty risk related to investments and other credit related risks (i.e., derivatives, loans, structured finance, reinsurance, corporate, sovereign and municipal bonds). The key measure is credit economic capital requirements for MetLife and its subsidiaries; the primary tool is Moody’s Analytics RiskFrontier.
  • Communicate credit economic capital results and analysis to senior staff and key internal stakeholders.
  • Collaborate on the design and development of quantitative/analytic models to monitor and manage risk within pre-defined limits and through various scenario testing.
  • Perform experience studies to estimate asset probability of default and loss assumptions.
  • Work with management to develop, implement, and communicate credit risk related policies and procedures.
  • Ensure that manual processes are properly documented and subsequently automated where possible.
  • Work with IT Operations to implement credit risk analytics solutions and procedures as permanent parts of the credit risk data architecture. The credit analytics and reporting team will be primary Testers (UAT) for implemented solutions, which ensures all projects take into consideration the overall data and reporting strategy of the organization.

 

Essential Business Experience and Technical Skills:

 

Required:

  • Bachelor’s Degree in financial engineering, actuarial science, mathematics, statistics, computer science, or related field.
  • 4+ years’ experience (internship and/or full-time) in any of the following fields: investment risk management (credit or market), statistics, quantitative portfolio performance management, engineering, computer science, actuarial science, or other related fields.
  • Demonstrated ability to work as part of a team and work collaboratively with members of other departments and lines of business.
  • Technical expertise and comfortable working with large quantities of data – very strong computer skills:
    • Query tool / programming experience (e.g. SQL, SAS) and/or commercial Business Intelligence reporting tools (e.g., PowerBI, Qlik, Tableau, Microstrategy)
    • Mathematical language proficiency
    • MS Office – Excel and PowerPoint in particular

 

Preferred:

  • Advanced degree, or pursuit thereof, in a related field
  • Comfortable interacting with varying levels of risk officers, other business leaders, and technology staff across the company.
  • Knowledge of a credit risk software platform such as Moody’s RiskFrontier.
  • Experience creating projection assumptions for use in capital calculations.
  • Knowledge of investment securities including pricing.
  • Familiarity with third party financial databases such as SNL, Moody’s Credit Edge, Barclays, Bloomberg, etc.

MetLife:

MetLife, through its subsidiaries and affiliates, is one of the world’s leading financial services companies, providing insurance, annuities, employee benefits and asset management to help its individual and institutional customers navigate their changing world. Founded in 1868, MetLife has operations in more than 40 countries and holds leading market positions in the United States, Japan, Latin America, Asia, Europe and the Middle East.

 

We are one of the largest institutional investors in the U.S. with $642.4 billion of total assets under management as of March 31, 2021. We are ranked #46 on the Fortune 500 list for 2021. In 2020, we were named to the Dow Jones Sustainability Index (DJSI) for the fifth year in a row. DJSI is a global index to track the leading sustainability-driven companies. We are proud to have been named to Fortune magazine’s 2021 list of the “World’s Most Admired Companies.” 

       

MetLife is committed to building a purpose-driven and inclusive culture that energizes our people. Our employees work every day to help build a more confident future for people around the world.

 

 

We want to make it simple for all interested and qualified candidates to apply for employment opportunities with MetLife.  For further information about how to request a reasonable accommodation, please click on the Disability Accommodations link below.

 

 

MetLife is a proud Equal Employment Opportunity and Affirmative Action employer dedicated to attracting, retaining, and developing a diverse and inclusive workforce. All qualified applicants will receive consideration for employment at MetLife without regards to race, color, religion, sex (including pregnancy, childbirth, or related medical conditions), sexual orientation, gender identity or expression, age, disability, national origin, marital or domestic/civil partnership status, genetic information, citizenship status, uniformed service member or veteran status, or any other characteristic protected by law.

 

 

MetLife maintains a drug-free workplace.

 

 

Requisition #: 122653