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Assured Guaranty is seeking a Risk Analyst to join the Economic Capital and Portfolio Risk Management Group in the Risk Management Department. The Analyst – Associate will be responsible for the following tasks:
- modeling including credit risk and data in the financial guaranty market
- analyses including risk attribution, scenario, stress, and sensitivity
- limit measuring and monitoring including single risk, sector risk and portfolio risk
- preparation of reports including risk, strategic planning, and enterprise
- coding in Matlab, Python, and R
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Responsibilities
Risk Modeling
- Develop internal credit risk tools from, not limited to, the economic capital perspective using methodologies such as simulations and variance/covariance in the public finance, infrastructure finance, and structured finance sectors
- Analyze and interpret complex datasets to support the risk management team on economic capital and environmental perspectives
- Implement new data models, internal credit risk tools, and algorithms developed in Matlab, Python, and R
- Modify and generate new stress test scenario models to quantify capital adequacy, liquidity, leverage ratios
- Work with spatial data to provide insights into rational challenges regarding the environment and obligors’ resilience
- Incorporate climate risks in credit risk models
- Adapt the risk models to the latest market and risk environments
- Model and monitor other risks including counterparty, downgrade, market, operations, enterprise
- Monitor credit risk trends with respect to credit, sector, concentration, country, and portfolio risk tolerances
- Develop and implement stress and scenario testing for capital adequacy, liquidity, and leverage ratio tests
- Integrate various risks including credit, climate, strategic, market, and operations
Research and Monitoring
- Routinely monitor market and emerging data to determine portfolio risks, model implications, and strategic risks in collaboration with Credit, Surveillance, Underwriting, and Finance
- Monitor single risk limits and sector risk limits in collaboration with the Credit Department
- Maintain system data integrity, accuracy, and consistency
- Take ownership for accuracy, integrity and completeness of data, risk measures and report contents
- Adapt the internal or external tools to the latest and engineering environments
- Complete analysis and, where appropriate, prepare written reviews of risks
- Perform internal model testing and validation
- Develop and maintain understanding of the key risk attributes of the portfolios for the different Assured companies
- Perform risk analysis and produce reports for senior management and the Board
- Research loss reduction, hedging tools, and emerging tools
Other Duties
- Research and develop tools for quantifying and monitoring emerging risks
- Support regulatory requests and reporting, as well as enterprise risk management
- Support other functions including risk mitigation, ad-hoc reporting, and analyses for other departments
- Interact with other departments including IT, Credit, Underwriting, Surveillance and Treasury
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- Bachelor of Science degree, preferably in computer science or engineering, finance, economics, or mathematics
- 4 to 7 years of coding experience in Matlab, Python, and R are necessary; Parallel computing skills are an asset
- Risk modeling and methodologies preferably in credit, as well as strategic, climate, liquidity, market, investment, and operational
- Ability to apply data science, machine learning, and artificial intelligence algorithms are a plus
- Familiar with object-oriented programming, user-interface coding, cloud computing, and Windows/Linux environment
- Experience with spatial data analysis and GIS tools.
- Strong knowledge and understanding of economic principles, theories, and models
- Excellent self- and time-management skills, with willingness to work additional hours when needed
- Ability to work in a demanding and fast-paced environment, and meet deadlines
- Critical thinker and creative developer in a multi-tasking environment
- Collaborative, responsible, and meticulous
- Strong presentation and verbal skills
- Excel, Word, and PowerPoint
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