Quantitative Risk Developer (Hybrid) (Greater NYC Area, NY)
Quantitative Risk Developer
Capital & Investment Risk Management Team
Full-Time
New York, NY or Boston, MA (Hybrid)
The Opportunity
As a Quantitative Risk Developer within the Capital & Investment Risk Management team you will be involved with quantitative model implementation, development, and analysis. The ideal candidate will join a quant team to enhance ERM's analytical and reporting capabilities, by expanding the use of existing models as well as designing and developing new tools and risk frameworks.
You will work with capital, credit, market and portfolio risk teams, and ERM more broadly. This is an excellent opportunity to collaborate with the portfolio managers, asset managers, traders and analysts for the general account (through the CIO's organization) and MassMutual's asset management subsidiaries; and enterprise technology (including data science) teams.
The Team
The Capital & Investment Risk Management team is responsible for the identification, measurement and analysis of MassMutual's portfolio, credit and capital risks. The team recommends risk management strategies and equips senior leadership with information they need to take advantage of opportunities and mitigate risks. Members of the team bring expertise and experience across a range of risk measurement and management disciplines, focused continuous improvement and development and business acumen.
The Impact
- Implement, develop and enhance ERM's analytical capabilities related to credit/market risk across a wide range of fixed income asset classes.
- Building on MassMutual's current approach, assist in developing and syndicating a comprehensive framework for measuring portfolio credit & market risk, that considers different accounting and capital regimes, including asset and liability impacts, with a particular emphasis on economic capital
- Automate and expand the use of Moody's credit risk tools in place today and build risk- reward optimization
- Use of Python/ SQL. Also use of spreadsheets and VBA to do prototyping and analyze data
- Strengthen ERM's use and development of tools and analytics to support derivatives counterparty risk & portfolio concentration risk
- Mentor junior quantitative analysts
- Expand use of economic scenario generators to support market, credit and capital risk analysis, and stress and scenario testing.
- You will scope and implement modeling, including building out requirements where not yet fully defined or understood. You will be agile, accountable and resilient in driving results
The Minimum Qualifications
- Minimum 5+ years of relevant work experience in investment (credit/market) quantitative risk analytics
- Moderate to high level skills in Python and SQL and development skills
- Strong quantitative model development & implementation skills and ability to validate analytical results
- Experience in quantitative risk modeling across a wide range of asset classes
- Advanced degree in a quantitative discipline
- Desire to use your quantitative and programming skills in a hands-on setting to deliver new functionality
The Ideal Qualifications
- 7+ years of Quantitative work experience is desirable
- Master's degree or PhD in Computer Science, Financial Engineering, Mathematics, Physics, engineering or similar quantitative discipline is preferred
- Knowledge and experience working with derivatives and hedging risk management
- Experience in using Moody's Analytics credit risk tools is desirable
- Previous experience working on liability driven investing projects within an insurance company is desirable
- Experience applying machine learning techniques in the financial industry is desirable
What to Expect as Part of MassMutual and the Team
- Regular meetings with the Quantitative teams within ERM, Investment management & ETX project teams
- Focused one-on-one meetings with your manager
- Access to mentorship opportunities
- Networking opportunities including access to Asian, Hispanic/ Latinx, African American, women, LGBTQ, Veteran and disability-focused Business Resource Groups
- Access to learning content on Degreed and other informational platforms
- Your ethics and integrity will be valued by a company with a string and stable ethical business with industry leading pay and benefits
#LI-CR37
MassMutual is an Equal Employment Opportunity employer Minority/Female/Sexual Orientation/Gender Identity/Individual with Disability/Protected Veteran. We welcome all persons to apply. Note: Veterans are welcome to apply, regardless of their discharge status.
If you need an accommodation to complete the application process, please contact us and share the specifics of the assistance you need.
Offers of employment are contingent on the completion of satisfactory references, background investigation, and (if applicable) any federal securities law requirements/FINRA regulations (including fingerprinting) and/or passing of a drug screening.
At MassMutual, we focus on ensuring fair, equitable pay by providing competitive salaries, along with incentive and bonus opportunities for all employees. Your total compensation package includes either a bonus target or in a sales-focused role a Variable Incentive Compensation component. For more information about our extensive benefits offerings please check out our Total Rewards at a Glance.
