Investment Risk Management (IRM) is a group within Enterprise Risk Management that oversees the risk profile of Prudential’s general account and other global proprietary investments through in-house analysis and partnerships with asset managers and the Chief Investment Office. IRM is responsible for developing and reporting limits, capital modeling, governance, and board reporting for assets with credit, equity, and counterparty risk. The group interfaces across the enterprise on topics such as potential new transactions, scenario analysis, and regulatory issues as a trusted partner and depends on a culture of collaboration to effectively approach complex yet interesting challenges. Job Summary
The Senior Associate will evaluate credit risks in structured credit investments. His or her primary focus will be on CLOs, ABS, and CMBS. Responsibilities will include ongoing support for the regular risk capital process (extensive interaction with Prudential’s risk capital model) as well as broader surveillance: monitoring the portfolio of structured assets as well as broader market trends and risks across respective asset classes emanating from the capital markets, underlying collateral space, structural changes, regulations, etc. He or she will use internal and vendor models, research, and data in support of risk evaluation processes. This process includes working with Operations & Systems to store appropriate data-fields and creating the design of automated reports. The incumbent will manage model inputs, assumptions, and settings, including development of appropriate model inputs for deterministic stress scenarios. He or she will interpret and communicate credit model results and other indicators of risks to senior management via reports and presentations. He or she will strive to improve the approaches to evaluating risk, ask critical questions, and ensure transparency and quality of processes, data, assumptions, and results. Responsibilities will also cover ad hoc analysis, including evaluating new transactions. This position will work closely with Prudential’s asset managers, model risk management, and other teams to ensure coordination and understanding of modeling approaches and results obtained. This may also include responsibility for model validation and documentation of assumptions and processes. Qualifications:
- Bachelor's or Master's degree in finance, economics, math, or quantitative field
- Work experience within Structured Projects in some form is required
- 5 years of relevant work experience in capital markets, investments, risk/credit, finance, ALM, Treasury, or related area (some credit/risk experience is preferred).
- Rating agency experience is a big plus.
- Experience with leveraged loans/CLOs and/or ABS. Additional experience with other structured assets - CMBS, RMBS - is preferred.
- Expertise with INTEX and INTEX data.
- Familiarity/experience with credit models (for example, RiskFrontier, Creditmetrics, etc.)
- Excellent analytical skills & highly proficient in Excel
- Ability to work with large datasets and database software such as Tableau and/or VBA/SQL
- Familiarity with 3 rd party research and ability to design surveillance reports
- Strong verbal and written communication skills; ability to explain complex models
- Familiarity with capital markets, economic and regulatory environments
- Strong relationship building and partnering skills; willingness to mentor other employees
- Self-starter; ability to work independently and exercise good judgment