Quantitative Credit Risk Associate @ Hedge Fund

Coda Search is partnering with a globally recognized alternative asset manager that's hiring a Quantitative Credit Risk Associate for its credit platform in NYC. The Quantitative Credit Risk Associate will own, develop, and maintain the probability of default modeling framework and related loss estimation models across the credit platform. This is a build-oriented seat and will partner closely with the deal and portfolio teams.

Responsibilities

• Build, calibrate, and maintain PD models for private middle-market borrowers


• Develop companion LGD and EAD models reflecting collateral packages, lien position, covenant structures, and observed workout recoveries.


• Extend the framework across asset classes where borrower-level modeling does not apply i.e pool-level and cash flow modeling for asset-based and structured exposures.


• Map internal risk ratings to agency-equivalent scales and external default studies.


• Back-test model output against realized defaults, downgrades, and recoveries

Qualifications

• 2+ years of experience in quantitative credit risk, credit modeling, model validation, or a closely related quantitative role at an asset manager, bank, rating agency, insurer, or specialty finance firm.


• Bachelor's or Master's degree in a quantitative discipline (STEM)


• Strong applied statistical modeling and PD modelling experience required


• Proficiency in Python and SQL. Comfort working


• Working fluency in credit fundamentals: capital structures, leveraged finance mechanics, credit agreement terms, and financial statement analysis.


• Ability to communicate model output and its limitations clearly to non-quantitative investment professionals