Careers at KKR
VP, Credit Risk Modeling
New York, New York, United States · Vp
Sponsorship not specified$160k-$175kDetected 15 days ago
PythonLoad TestingLeadershipCommunicationRisk Modeling
About the role
- KKR is a leading global investment firm that offers alternative asset management as well as capital markets and insurance solutions.
- KKR aims to generate attractive investment returns by following a patient and disciplined investment approach, employing world-class people, and supporting growth in its portfolio companies and communities.
- KKR's insurance subsidiaries offer retirement, life and reinsurance products under the management of Global Atlantic Financial Group.
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
- 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
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.
- Experience calibrating and validating credit models.
- KKR will provide reasonable accommodations as required by applicable federal, state, and/or local laws.
Skills
- Calibrate asset-class-specific inputs - transition probabilities, loss given default, recovery rates, and credit spreads
Compensation
- Range - $160,000 to $175,000
Benefits
- You can request reasonable accommodations by sending an email to Benefits@kkr.com.
Company info
- Global Atlantic, a KKR company, is one of the largest insurance and reinsurance platforms in Bermuda, managing over $110 billion across multiple entities.
Equal opportunity
- KKR is an equal opportunity employer.
- Individuals seeking an accommodation for the application or interview process should email Benefits@kkr.com.
Apply directly at Careers at KKR →Create a free account for alerts like thisView Careers at KKR immigration profile
This listing is sourced directly from Careers at KKR's careers page and normalized into a canonical job model.