Morningstar - Senior Quantitative Analyst - Credit Quants

Senior Quantitative Analyst, Credit Quants

The Team :

- DBRS Morningstar (DBRSM) is a global credit ratings business, currently with 700 employees in eight offices globally. Formed through the July 2019 acquisition of DBRS by Morningstar, Inc., the ratings business is the fourth-largest provider of credit ratings in the world. DBRS Morningstar is committed to empowering investor success, serving the market through leading-edge technology and raising the bar for the industry. DBRS Morningstar is a market leader in Canada, the U.S. and Europe in multiple asset classes. DBRS Morningstar is driven to bringing more clarity, diversity of opinion, and responsiveness to the ratings process. DBRS Morningstar's approach and size provide the agility to respond to customers' needs, while being large enough to provide the necessary expertise and resources.

The Role:

As a Quant Analyst you will execute proprietary research pertaining to building data building various types of credit rating models, such as default models, cashflow models, capital models, regression models covering asset classes of ABS, CMBS, Covered Bond, RMBS, Structured Credit, Corporates, Financial Institutions and Sovereigns. The Credit Ratings Modeling team will collaborate with members from the Credit Ratings, Credit Practices, Independent Review, Data and Technology teams to create class leading models that are as innovative as they are easy to understand in the marketplace.

You will be expected to adopt an "iron sharpens iron" attitude where the focus is on making everyone better. The ideal candidate will demonstrate Quant research skills in Credit Modeling alongside Quant Modeling skills such as statistics, Machine Learning, numerical optimization & software engineering skillset within Fintech eco space.

Responsibilities:

- Support methodology development, Quant Model builds & enhancements for core Quant products as credit predictive models, etc.

- Participate in building next generation of credit modelling.

- Maintain and enhance proprietary Python libraries related to model building

- Leverage structured and unstructured datasets to build new Quant frameworks that would help analysts in informed decision making.

- Assisting development of Analytics-based solutions, taking ownership of the design and development of solutions to scale information ingestion, storage, computation (training/inference), validation.

- Participate in analyst conversations for understanding ongoing analyst issues.

Requirements:

- 3 to 5 years of investment research / rating agencies experience with emphasis on fixed income research / analysis, credit modelling.

- CFA, CQF or postgraduate degree in finance, economics, mathematics, statistics is highly desired.

- Experience developing Financial Engineering/ Statistical applications on cloud.

- Experience of statistical models (Regression, Monte Carlo simulations, Numerical Optimization etc.)

- Experience of developing Quant Models using Python.

- Experience engineering models on big data.

- Understanding of both business and technical requirements, and the ability to serve as a conduit between rating team, research and technology

- Familiarity fixed income.

- Morningstar is an equal opportunity employer.