Gauntlet

Credit Risk Researcher

New York

Sponsorship not specified$160k-$195kDetected 27 days ago

PythonData AnalysisCybersecurityCadenceCommunicationUnderwriting

About the role

The Credit Risk team runs due diligence on the assets, protocols, and chains supported by Gauntlet's lending and vault products, sets the guardrails that govern our lending activity, and monitors credit assets both off-chain and on-chain.
You will work the full credit lifecycle - initial diligence and deal structuring through ongoing portfolio surveillance - across direct lending, structured facilities, and on-chain/off-chain securitization.

Underwrite institutional and on-chain credit relationships, and build/own the credit models for RWA assets - PD/LGD frameworks, vintage loss curves, advance-rate haircut schedules, and stress scenarios.
Partner with Capital Markets on structuring: credit input on term sheets (rate, term, size, collateral, covenants, margin-call triggers)
co-design trust tranches, covenants, advance-rate schedules, and facility limits for securitized products before close.
Maintain on-chain risk parameters: supply caps, LLTV settings, exposure thresholds, and related controls.
Operating as the credit-risk owner across active and incoming deal flow: running your own models on the live pipeline (PD/LGD, stress scenarios), producing structured DD memos and go/no-go recommendations for Capital Markets and Vault Curation, and established as the Credit Risk point of contact on at least one active credit product with monitoring cadence and escalation protocols in place.
Wants to own the full credit function, not just run models.
Comfortable building frameworks from scratch, setting standards, and defending views with Capital Markets and senior leadership.
Wants to build the credit infrastructure, not inherit it.
Analytically rigorous but commercially aware - understands the credit function exists to enable deal flow, not block it, and manages that tension thoughtfully.

3-6 years in credit risk, structured finance, leveraged finance, or asset-backed lending at a leading financial institution, credit fund, or fintech lender.
Portfolio-monitoring experience: delinquency tracking, covenant compliance, borrower financial review, and early-warning systems.
Prior crypto experience is not required - curiosity is.
Direct credit-underwriting experience: PD/LGD modeling, loss-curve and vintage analysis, advance-rate structuring, covenant design, and stress testing.
Hands-on exposure to one or more of: direct lending, warehouse facilities, ABS/CLO structuring, securitization, asset-backed finance, or structured credit.
Strong grasp of legal/structural credit concepts: SPV formation, bankruptcy remoteness, security-interest perfection, covenant packages, and waterfall mechanics.
Exceptional written and verbal communication - able to distill complex credit analysis into clear, actionable recommendations for non-credit stakeholders.
Experience building or maintaining quantitative risk models in Python or R.
Bonus points
On-chain credit protocols, DeFi lending markets, or tokenized-asset structures (e.g., Morpho, Aave, tokenized ABS).
Crypto-native credit risk: smart-contract risk, oracle failure, depeg events, and on-chain collateral liquidity.
Prior work with RWA issuers, fintech lenders, or asset originators - understanding the pipeline and servicing behind the loan tape.
Exposure to prime-brokerage credit, repo, or securities financing from a risk perspective.

This listing is sourced directly from Gauntlet's careers page and normalized into a canonical job model.