Head of Credit Risk Management - Investment Risk
POSITION SUMMARY
The Head of Credit Risk Management for MassMutual’s Enterprise Risk Management (ERM) works with risk managers and investment managers across MMFG to identify, quantify and analyze enterprise credit risk. He/She works with MassMutual, its insurance subsidiaries, Oppenheimer, Barings, and MassMutual’s Chief Investment Officer (CIO) to evaluate and implement quantitative risk models to measure and manage the portfolio default and migration risk in the context of potential returns.
Position will be based in Boston and must be willing to travel to Springfield (approx. 1.5 hour drive from Boston) or elsewhere as needed
KEY RELATIONSHIPS
Reports to: Head of Investment Risk (ERM)
Other Relationships: CRO and Staff, CIO and Staff, Investment Staff at Subsidiaries, Product Development, Finance, Legal, External Industry Experts, Regulators and Rating Agencies
OVERALL RESPONSIBILITIES
•As a member of ERM’s investment risk team and in coordination with MassMutual’s CIO, lead the development and/or enhancement of credit risk models to measure and manage enterprise default and migration risk
•Produce enterprise credit risk analytics to support risk/reward decision making
•Work with other members of the investment risk team to integrate credit risk into the overall enterprise investment risk framework, considering correlations and interdependencies
•Provide credit risk modeling leadership to other ERM members to support MassMutual’s risk appetite and top risks processes
•Work with MM ERM investment risk staff to develop and execute portfolio credit risk stress testing, as needed
•Partner with MassMutual’s investment management to assess portfolio credit risk and performance, to align and improve assessments of risk as appropriate
•Communicate to internal constituents credit risk related topics
CANDIDATE QUALIFICATIONS
•10+ years of relevant work experience in quantitative credit risk management
•Deep understanding of global capital markets
•Proven understanding and applied experience with credit risk modeling and analysis
•Strong intellectual curiosity
•Superior analytical and strategic thinking skills
•Strong written and verbal communication skills
•Deep knowledge of financial and econometric modeling and simulation techniques
•Familiarity with insurance company financial statements is highly desirable
•FRM and/or CFA preferred
•Experience working with well-established industry credit risk models (Moody’s, Kamakura, etc.)
•Well established record of client relationship management, project management and personal development
•Must be authorized to work in the US without sponsorship now or in the future