Associate Director, Credit Modelling

Associate Director, Credit Modelling

Mouri Tech
10-12 years
Not Specified

Job Description

Associate Director, Credit Modelling
The Group: DBRS Morningstar's Quantitative Research Group creates independent predictive models designed to help rating analysts assign credit ratings to multiple asset classes. We utilize statistical rigor and large data sets to inform the methodologies we develop. is the fourth-largest provider of credit ratings in the world and it rates more than 2,600 issuers and 54,000 securities worldwide and is driven to bringing more clarity, diversity of opinion, and responsiveness to the ratings process.
The Role: As an Associate Director, you will oversee a team of Quant Researchers, Data Scientists and Quant Developers team dedicated to building and supporting models. Most of the research is integrated to DBRS Morningstar's credit analysis workflow.
As a manager and mentor, you will be expected to adopt an 'iron sharpens iron' attitude where the focus is on making everyone better. The ideal candidate will blend people leadership/management skills, Quant Modeling skills and operational know how. This position reports to the Managing Director of Credit Ratings Modelling.
  • Support building, validating, testing, and reviewing of quantitative models (default models, cashflow models, capital models, regression models, time series models) that support our ratings across asset classes of ABS, CMBS, Covered Bond, RMBS, Structured Credit, Corporates.
  • Manage, mentor and coach a team of quantitative analysts, Data Scientists and Quant Developers. Manage the team's workload and drive accountability for quality and timeliness.
  • Maintain and enhance proprietary Python libraries used to build models.
  • Leverage new structured and unstructured datasets to build new Quant frameworks that would help rating analysts in informed decision making.
  • Assisting development of Analytics-based solutions, taking ownership of the design and development of solutions to scale information ingestion, storage, computation (training/inference), validation.

  • 10 to 12 years of investment research / Risk Management / Credit Rating Agencies experience with emphasis on fixed income.
  • CFA, CQF or postgraduate degree in finance, economics, mathematics, statistics.
  • Good experience in developing Finance/ Statistics based applications, using proven technologies like Python language stack/offerings and tools
  • Excellent people management skills. Excellent writing and communication skills.
  • Understanding of both business and technical requirements, and the ability to serve as a conduit between product, research, technology, and analyst.
  • Experience working in Agile delivery model and knowledge of Software Development Lifecycle.
  • Knowledge of statistical models (e.g. Regression, forecasting, optimization, Monte Carlo simulations, etc.).
  • Knowledge of Natural Language Processing, text mining & sentiment analysis.
  • Experience developing Financial Engineering / Statistical applications on cloud

Morningstar is an equal opportunity employer.
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 bringing more clarity, diversity of opinion, and responsiveness to the ratings process. DBRS Morningstar's approach and provide the agility to respond to customers needs, while being large enough to provide the necessary expertise and resources.

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About Mouri Tech

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