KKR

4 weeks ago

VP, Credit Risk Modeling

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Source: Company careers pageValidated by: Fursa AI

Last checked: 40 minutes agoStatus: Live

Job Summary

Lead development of portfolio credit risk models to quantify tail losses, calibrate risk frameworks, and translate outputs into capital metrics; build production Python pipelines and partner with investment/finance teams to embed analytics into monitoring and asset allocation.

Location: New York

Workplace: Onsite

Employment Type: Full time

Job Function: Banking, Lending & Credit

Seniority: Director level

Key Responsibilities

•Build and own portfolio credit risk models that quantify tail losses from default and rating migration across asset classes.
•Develop a credit risk framework: calibrate transition matrices, model correlated credit migration, and produce full loss distributions to measure tail risk at the portfolio level.
•Calibrate asset-class-specific inputs — transition probabilities, loss given default, recovery rates, and credit spreads.
•Translate model outputs into actionable capital metrics: compute expected loss, cost of downgrade, and tail risk measures by rating and tenor to support portfolio construction, and limit-setting decisions.
•Build production-quality Python pipelines for model execution, data processing, and automated reporting; deliver clear visualizations and summaries for senior leadership and the Board.
•Partner with investment teams, and finance to embed credit risk analytics into portfolio monitoring, stress testing, and strategic asset allocation

Pay and Benefits

Salary: USD 160,000 - 175,000 annually

Key Requirements

•8–12 years in credit risk modeling, quantitative finance, or insurance capital modeling.
•Deep expertise in portfolio credit risk frameworks — transition matrices, Monte Carlo simulation, correlated default modeling, and tail risk measurement.
•Production-quality Python skills.
•Experience calibrating and validating credit models.
•Strong written communication for technical and executive audiences.

Experience:8-12 yearsFinanceCredit riskInsuranceInvestment management

Skills:CommunicationLeadershipCollaborationPresentationProblem-solving

Languages:English

Tech Stack:PythonMonte Carlo simulationTransition matricesData processingVisualization

Company Brief

KKR

Global investment firm providing alternative asset management and capital markets services across private equity, credit, real assets, and hedge funds, serving institutional and private clients worldwide.

Industry: Asset Management

Company Size: Enterprise (1,001+ employees)

Revenue: USD 1B+

Growth: Public Company

Valuation: Public Company (Market Cap in USD)

Funding: IPO / Publicly Listed

Headquarters: New York, United States

Founded: 1976

Website LinkedIn

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KKR