Assistant Vice President, Quantitative Analyst - Structured Finance

About the role

The Structured Finance Analytics Team at Morningstar includes a Quant team, a Data Analytics team, a Solutions team and a Cashflow Modelling team. The Quant team builds models and analytical tools that help rating analysts assess the credit risk of transactions. As a Quantitative Analyst you will run proprietary research to build credit rating models, including factor and predictive models for ABS, CMBS, RMBS and structured credit, working with Credit Ratings, Credit Practices, Methodology Review, Data Engineering and Technology teams.

Key responsibilities

• Support rating methodology development and implement quantitative models such as credit predictive models.
• Develop, maintain and enhance proprietary Python and C++ libraries for model building.
• Build new quantitative frameworks from structured and unstructured datasets to support analyst decisions.
• Help develop analytics-based solutions, owning the design and development of solutions for scaling data ingestion, storage, computation (training/inference) and validation.
• Take part in analyst discussions to understand their issues and market trends.
• Contribute to quantitative research papers on model development, methodology and analytical innovation.

Required profile

• Bachelor's degree; Master's or PhD preferred in Mathematics, Engineering, Physics, Economics, Finance, Statistics or a related quantitative discipline.
• At least 5 years of experience in a rating agency (preferred) or financial institution.
• At least 5 years of hands-on experience modelling RMBS/ABS/CLO defaults and losses.
• Strong knowledge of securitisation products.
• Nice to have: CQF or postgraduate degree in quantitative finance, economics or STEM; exposure to NumPy, Pandas, Scikit-Learn and SciPy; cloud application experience (AWS preferred).

Required skills

• Python or C++ coding skills.
• Statistical modelling, probability theory, numerical analysis and stochastic calculus.
• Numerical methods: numerical integration, Monte Carlo simulation, root-finding and optimisation.
• Writing research articles and technical documentation in LaTeX.

What we offer

• Base salary EUR 63,400-92,133 with a 20% annual bonus target.
• Hybrid work, typically four days in office per week.
• A range of other benefits depending on location and needs.