Position Summary
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
Position Description
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
Candidate Background
- 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
Compensation
Annual base salary for the position is expected to be from $95,000 per year to $115,000 per year. The actual salary will depend on various factors, including but not limited to a candidate’s experience and credentials, salary expectations of applicable candidates, and other applicable market conditions. This position also provides applicable employee benefits, as well as eligibility for an annual discretionary bonus.
Top Skills
What We Do
Assured Guaranty is the leading provider of financial guaranty insurance. We guarantee timely payment of scheduled principal and interest when due on municipal, public infrastructure and structured financings. Issuers use our financial guarantees to lower their cost of funds, broaden distribution and diversify funding sources. For more than three decades, our insurance subsidiaries have helped to lower the cost of borrowing for municipalities and other issuers across the United States by guaranteeing a wide range of tax-exempt and taxable, investment-grade, municipal bonds that are supported by either tax revenues or revenues from essential public projects or services. From schools to clean water, from transportation projects to hospitals and more, we help municipalities build sustainable public infrastructure and better serve their residents, including their underserved and at-risk communities.
We are also active in the United Kingdom, Europe, Australia and other developed countries, where we guarantee public-private partnership, local authority and regulated utility financings. In structured finance, globally, we guarantee asset securitizations and craft custom applications of our guarantees to assist our institutional clients in managing their portfolio risk and capital. For investors, our value proposition includes not only the security of our unconditional, irrevocable guaranty but also our experienced credit selection, underwriting and surveillance. Our business model has proven its resilience through multiple business cycles, and we have demonstrated our commitment to maintaining the financial strength to protect our policyholders for the life of their insured investments.
In addition, our subsidiary Assured Investment Management LLC provides alternative investment management and advisory services to institutional and other qualified investors through our investment arm and offers a variety of credit-focused strategies and structured finance solutions.
