Quantitative Risk Mgmt The Quantitative Risk Management role participates in developing, implementing and validation of global risk quantitative and analytic models to support efforts to minimize risk. Working under limited supervision, the Quantitative Risk Management Analyst provides risk management support for the business in key risk identification, measurement, and aggregation; and the understanding and management of risk through appropriate practices and processes
Key Responsibilities and Duties
Assists with developing and/or reviewing models to support identification and review of risk issues, risk metrics and risk exposure.
Applies established risk metrics and risk tolerance guidelines and policies.
Develops processes for effective and efficient reporting and data analysis to minimize risk exposure.
Ensures data inputs to models are valid and appropriate.
Supports the risk management system and regularly communicates material risk issues, risk metrics, and risk exposure resolutions.
Contributes to explanations of quantitative risk management policies and procedures to ensure timely and transparent communication.
Educational Requirements
University (Degree) Preferred
Work Experience
5+ Years Required; 7+ Years Preferred
Physical Requirements
Physical Requirements: Sedentary Work
Career Level
8IC
Position Summary
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The primary purpose of this role is to provide comprehensive credit risk oversight and methodology support through independent credit rating reviews, model validation, portfolio sampling, and data validation activities. This position requires a blend of model development expertise, credit analysis capabilities, and technical proficiency to work collaboratively with IT teams while ensuring the accuracy, consistency, and timeliness of credit risk ratings and methodologies across the investment portfolio.
Key Duties & Responsibilities
Credit Oversight, Reviews and Methodology
Perform independent credit risk rating reviews of obligors including private corporate obligors, residential and commercial mortgage loans, securitized bonds, and individual debt securities
Conduct and establish scope and frequency of portfolio sampling for independent rating reviews to ensure proper execution across both randomly and manually selected obligors and securities
Support the evaluation of rating assignment and update processes undertaken by analysts for both public and private obligors and securities to determine consistent and proactive credit risk monitoring
Monitor portfolio performance to gauge migration trends, consistency, and default characteristics across the investment portfolio
Ensure consistency, accuracy, and timeliness of internal credit ratings through systematic review processes
Review and monitor internal credit risk rating models to ensure robustness and accuracy and perform model validation tests and annual model confirmation as required by Model Risk Management (MRM)
Assist in the completion of annual MRM requirements including confirmation reports, revalidation tests, and responding to queries per defined cadence
Customize or recalibrate models and update model documentation when needed
Work collaboratively with IT teams to ensure data assurance, data aggregation, and data validation for credit risk models and analyses
Analyze large datasets to identify trends, patterns, and correlations that impact credit risk
Recommend technology-based tools and product enhancements to perform credit and statistical data analysis more accurately and efficiently
Assist in the design of obligor/securities review memos, reports, and other documentation
Prepare and update Standard Operating Procedures (SOPs) and manuals to cover credit risk activities
Generate accurate and timely credit risk reports for multiple stakeholders, including management and internal auditors
Job Requirements and Qualifications
Required Education:
Master's degree in Finance, Statistics, Mathematics, Engineering, Quantitative Finance, or related field
Preferred Education:
Master's or Ph.D. in quantitative finance, mathematics, statistics, applied mathematics, computer science, physics, engineering, or related quantitative field
Professional certifications such as FRM (Financial Risk Manager) from GARP or CFA (Chartered Financial Analyst)
Required Experience:
5+ years of experience in financial risk management with a mix of:
Credit model development and validation
Credit risk analysis and portfolio reviews
Deal review and credit appraisal
Portfolio sampling methodologies
Data validation and quality assurance
Preferred Experience:
5-10 years in credit risk quantitative analysis or credit risk oversight roles
Experience working in Banking, Investment Banking, Credit Rating Agency, Asset Management, or Insurance firm
Proven track record of model development, validation, and calibration activities
Experience with both public and private credit markets
Functional Knowledge and Skills
Technical Skills:
Experience with credit risk vendor models such as Moody's EDF-X, CMM, RiskCalc, or MPA
Proficiency in programming languages including Python, SQL, R, MATLAB, or equivalent tools is an advantage
Strong coding capabilities for model development, testing, and data validation and proficiency in database management and data validation techniques
Understanding of credit risk metrics including PD (Probability of Default), LGD (Loss Given Default), and EAD (Exposure at Default)
Knowledge of credit rating methodologies and rating migration analysis
In-depth knowledge of quantitative analytics and statistical modeling techniques
Analytical and Problem-Solving Skills:
Strong analytical and quantitative skills with proven ability to develop and implement models
Ability to analyze large datasets and identify trends, patterns, and correlations
Experience in risk modeling, risk reporting, credit reviews, appraisals and stress testing
Interactions & Interpersonal Skills
Willingness to take individual initiative while working both independently and under general supervision
Strong written communication skills for preparing reports, SOPs, and model documentation
Strong communication skills to effectively interact with various stakeholders including analysts, management, auditors, and technology teams
Ability to work collaboratively with IT teams on data validation initiatives and technical implementations
Ability to communicate clearly in virtual environments (Zoom, Teams)
Capacity to build and strengthen partnerships across functions
Impact
Nature of Impact: The role enhances credit risk oversight infrastructure, improves existing models and methodologies, and ensures robust data validation processes. The position creates greater resiliency for credit risk management, accelerates model improvement efforts, and strengthens the organization's bench strength in credit methodology and oversight.
Area of Impact: The immediate impact is on the Credit Risk and Financial Risk teams. Secondary impacts extend to the broader organization through dynamic credit risk oversight, asset allocation support, measurement of potential capital at risk, and contribution to Asset Liability Management (ALM), Interest Rate Risk, and Credit Risk Management functions.
Physical Requirements
Physical Requirements: Sedentary Work
Related Skills
Advanced Mathematics, Communication, Critical Thinking, Data Analysis, Financial Acumen, Financial Modeling, Market/Industry Dynamics, Model Validation, Prioritizes Effectively, Problem Solving, Programming, Quantitative Analysis, Statistics _____________________
Company Overview
TIAA Global Capabilities was established in 2016 with a mission to tap into a vast pool of talent, reduce risk by insourcing key platforms and processes, as
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