Corporate Vice President - Quantitative Credit Risk

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Date: Nov 21, 2021

Location: New York, NY, US

Company: New York Life Insurance Co

 

When you join New York Life, you’re joining a company that values development, career growth, collaboration, innovation, and diversity & inclusion. We want employees to feel proud about being part of a company that is committed to doing the right thing. Through various resources and programs, you can grow your career while developing personally and professionally.

 

 

 

The Quantitative Credit Risk Corporate Vice President will be responsible for maintaining and enhancing the fundamental credit risk management framework and data architecture for New York Life’s Commercial Real Estate (CRE) General Account portfolio. The position will help automate the onboarding of NYL’s CRE risk management data and use this database to prepare CRE sector reviews, select deal reviews and credit risk analytics including stress testing, loss forecasting, and credit risk and capital factor input assumptions for NYL’s CRE portfolio. The position will provide the Office of Risk Management perspective within Asset Sector working groups and will be involved in the identification, quantification, developing, reviewing and maintaining guidelines, reporting, risk metrics and credit portfolio strategies for derivatives and new products in our portfolio. The opening requires a high degree of sophistication and prior hands on experience with programming languages including SQL and Python and data visualization software such as Tableau. Prior working experience with Moody’s Commercial Mortgage Metrics and knowledge of Risk Frontier is a plus. 

 

Responsibilities:
• Assist in developing and Implementing credit risk quantitative models
• Maintain and enhance the fundamental credit risk management framework and data architecture for New York Life’s Commercial Real Estate General Account portfolio
• Conduct Commercial Real Estate sector reviews, select deal reviews and credit risk scenario analytics
• Maintain and develop assumptions of the credit risk portion of the commercial real estate and derivative capital framework
• Assist in Developing/recommending/portfolio strategies, guidelines, risk metrics, and compliance
• Compile credit risk stress/sensitivities for the dedicated business review and credit risk dashboard
• Support quantitative credit risk requirements for various submissions (rating agency, Board reports, etc.)
• Work closely with other stakeholders within both NYL Investors and finance for developing and implementing credit risk analytics.
• Analyze the model’s default, recovery and correlation risk input assumptions
• Assist in developing, reviewing and recommending credit risk limits
• Develop Credit Risk Early Warning System
• Supporting ongoing and future projects working with the senior team lead when applicable
• Partner with asset sectors for development of internal risk rating and validation
• Support management for the preparation of various credit risk dashboard and reporting
• Assist in the development of Climate Risk Analytics for the CRE portfolio
• Assist in the development, review and recommendation of CRE credit risk limits

 

Qualifications:
• 7+ years of risk management experience with specific background in commercial real estate, structured finance, derivative credit risk analytics or equivalent investment experience
• Experience with implementation of credit risk models such as Moody’s CMM, Risk Frontier, Kamakura portfolio credit model, Aladdin Risk, etc.
• Relationship management expertise
• Strong communication and partnering skills
• Proven ability to solve complex risk management problems
• High degree of sophistication and prior hands on experience with programming languages including SQL and Python and data visualization software such as Tableau
• Strong communication and partnering skills and ability to work in a team environment
• Experience with running credit risk models such as Moody’s Commercial Mortgage Metrics
• Undergraduate degree required in a quantitative field; advanced degree preferred

 

Recognized as one of Fortune’s World’s Most Admired Companies, New York Life is committed to improving local communities through a culture of employee giving and volunteerism, supported by our Foundation. We invite you to bring your talents to New York Life, so we can continue to help families and businesses “Be Good At Life.” To learn more, please visit LinkedIn, our Newsroom and the Careers page of www.NewYorkLife.com.

Job Requisition ID: 85154

 

 

 


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