• Competitive
  • San Francisco, CA, USA
  • Permanent, Full time
  • Moody's
  • 2018-10-17

Director - Quantitative Research (CECL / IFRS 9)

Location: San Francisco, CA, USA

As a research director, you will lead research on Regulatory & Accounting approaches to impairment modelling in Moody's Analytics Quantitative Research team based in San Francisco. This role requires subject matter expertise and relevant experience working with banks and asset management arms of insurance companies. It will specifically focus on the financial instrument valuation and allowance calculation under the new CECL/IFRS 9 accounting standards and the related regulatory guidelines. The candidate will lead the design of analytic and empirical models for impairments, as related to balance sheet management and applications in risk and finance groups. The role requires working with Moody's Analytics product management, sales, advisory, implementation services, and marketing teams to design modeling solutions. Additionally, this position requires the candidate to represent Moody's Analytics at industry conferences and through internal and external publications.

Responsibilities:
  • Take a leadership role in the analytic and empirical research and model development efforts related to new CECL/IFRS 9 impairment calculations
  • Collaborate with economists, financial modelers and data scientist to design customized solutions leveraging sophisticated intellectual property and research.
  • Provide research expertise to develop prototypes and support software development activities
  • Present research findings to technical and non-technical audiences
  • Work closely with product management to implement specific growth opportunities and take the lead in owning the execution and results of the plan
  • Provide guidance and mentorship to junior researchers, and actively participate in developing, shaping and growing the commercial aspects of the business


ERS Research and Modeling Services

  • Advanced degree (Ph.D. preferred) in a quantitative field such as mathematics, statistics, finance, accounting, economics, operations research, or closely related fields
  • 6+ years of experience with impairment modeling at a bank, consulting or risk management firm.
  • Proficiency in probability and statistical analysis; experience in machine learning with optimization algorithms a plus
  • Track record in oversight of allowance framework at a banking/insurance institution within Risk or Accounting/Finance function, or at a consulting firm in the practice in those areas
  • Experience in the publishing and delivery of thought leadership demonstrated in research, publications and speaking engagements
  • Familiarity with recent advances in credit risk measurement and management
  • Excellent written and oral communication skills


Moody's is an essential component of the global capital markets, providing credit ratings, research, tools and analysis that contribute to transparent and integrated financial markets. Moody's Corporation (NYSE: MCO) is the parent company of Moody's Investors Service, which provides credit ratings and research covering debt instruments and securities, and Moody's Analytics, which offers leading-edge software, advisory services and research for credit and economic analysis and financial risk management. The Corporation, which reported revenue of $4.2 billion in 2017, employs approximately 11,900 people worldwide and maintains a presence in 41 countries. Further information is available at www.moodys.com.

Moody's is an equal opportunity employer. All qualified applicants will receive consideration for employment without regard to race, color, sex, gender, age, religion, national origin, citizen status, marital status, physical or mental disability, military or veteran status, sexual orientation, gender identity, gender expression, genetic information, or any other characteristic protected by law. Moody's also provides reasonable accommodation to qualified individuals with disabilities in accordance with applicable laws. If you need to inquire about a reasonable accommodation, or need assistance with completing the application process, please email accommodations@moodys.com.. This contact information is for accommodation requests only, and cannot be used to inquire about the status of applications.

For San Francisco positions, qualified applicants with criminal histories will be considered for employment consistent with the requirements of the San Francisco Fair Chance Ordinance. For New York City positions, qualified applicants with criminal histories will be considered for employment consistent with the requirements of the New York City Fair Chance Act. For all other applicants, qualified applicants with criminal histories will be considered for employment consistent with the requirements of applicable law.

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Candidates for Moody's Corporation may be asked to disclose securities holdings pursuant to Moody's Policy for Securities Trading and the requirements of the position. Employment is contingent upon compliance with the Policy, including remediation of positions in those holdings as necessary.