Assistant Vice President, Quantitative Analyst, Structured Finance

Morningstar; Madrid; Hybrid; EUR 63,000 - 92,000; Full time

Benefits offered by this job

Hybrid work model

Job summary

Morningstar Credit Ratings, LLC seeks a Quant Analyst to execute proprietary research and build credit rating models for ABS, CMBS, RMBS and Structured Credit. You will collaborate with the Credit Ratings, Methodology, Data Engendering and Technology teams to create scalable models.

Responsibilities include developing and maintaining Python and C++ libraries, leveraging large datasets, and writing quantitative papers. A PhD/Master’s preferred and 5+ years in ratings or finance are desired.

Qualifications

• Bachelor’s degree or higher in a quantitative field, Master’s/PhD preferred.
• Minimum 5 years in a rating agency or financial institution.
• Hands-on RMBS/ABS/CLO default and loss modelling experience.
• Proficiency in Python or C++; experience with LaTeX for docs.
• Strong statistical and numerical methods knowledge; securitisation expertise.
• Experience in cloud environments (AWS) is a plus.

Responsibilities

• Support rating methodology development and implement quantitative models.
• Develop, maintain, and enhance Python and C++ libraries for modelling.
• Leverage large datasets to build new quantitative frameworks for analysts.
• Develop analytics-based solutions for ingestion, storage, computation, validation.
• Engage with analysts to address issues and market trends.
• Contribute to research papers on model development and methodology.

Skills

Python

C++

LaTeX

Data analysis

Statistics

Monte Carlo

Numerical methods

Stochastic calculus

Securitisation knowledge

Cloud AWS

Education

Bachelor’s degree; Master’s degree or PhD preferred in Mathematics, Engineering, Physics, Economics, Finance, Statistics, or a related quantitative discipline

Tools

NumPy

Pandas

Scikit-learn

SciPy

Job description

About the Team

The Structured Finance Analytics Team is composed of a Quant team, a Data Analytics team, a Solutions team, and a Cashflow Modelling team. The Quant team has been growing over the last few years, comprising a global team of a dozen people today, located in the US and in Europe. The Quant team builds models and analytical tools to help rating analysts assess the credit risk of a transaction.

The Role

As a Quant Analyst you will execute proprietary research for building various types of credit rating models, such as factor models and predictive models covering asset classes of ABS, CMBS, RMBS and Structured Credit. The Quant team will collaborate with members from the Credit Ratings, Credit Practices, Methodology Review Function, Data Engendering and Technology teams to create class leading models that are as innovative as understandable in the marketplace.

Responsibilities

• Support rating methodology development and participate in the implementation of quantitative models such as credit predictive models.


• Develop, maintain and enhance proprietary Python and C++ libraries related to model building.


• Leverage structured and unstructured datasets to build new quantitative frameworks to assist analysts in informed decision making.


• Assisting development of analytics-based solutions, taking ownership of the design and development of solutions to scale out information ingestion, storage, computation (training/inference), validation.


• Participate in analyst conversations to understand ongoing analyst issues and merging market trend.


• Contribute to the development and writing of quantitative research papers supporting model development, methodology enhancements, and analytical innovation.

If you receive and accept an offer from us, we require that personal and any related investments be disclosed confidentially to our Compliance team. These investments will be reviewed to ensure they meet Code of Ethics requirements. If any conflicts of interest are identified, then you will be required to liquidate those holdings immediately. In addition, dependent on your department and location of work certain employee accounts must be held with an approved broker (for example all, U.S. employee accounts). If this applies and your account(s) are not with an approved broker, you will be required to move your holdings to an approved broker.

Requirements

• Bachelor’s degree; Master’s degree or PhD preferred in Mathematics, Engineering, Physics, Economics, Finance, Statistics, or a related quantitative discipline.


• Minimum 5 years of experience within a rating agency (preferred) or financial institution.


• Minimum 5 years of hands‑on experience in RMBS/ABS/CLO defaults and losses modelling.


• Coding skills in a major programming language Python or C++ and experience writing research articles and/or technical documentation using LaTeX.


• Strong knowledge of statistical modelling, probability theory, numerical analysis and stochastic calculus.


• Strong knowledge of numerical methods (numerical integration, Monte Carlo simulation, root‑finding and general optimisation techniques).


• Excellent understanding of securitisation products.


• Understanding both business and technical requirements, and the ability to serve as a conduit between technical and non-technical departments.


• Nice to have CQF or postgraduate degree in quantitative finance, economics, or STEM fields is highly desired.


• Exposure to main Python packages for numerical computing and Machine Learning / Data Science (NumPy, Pandas, Scikit‑Learn and SciPy).


• Ability to perform rigorous data analysis on large datasets.


• Experience developing cloud applications (AWS preferably).

Base Salary Compensation Range

EUR 63,400.00-92,133.00

Bonus Target: 20% Annual

Hybrid Work Environment

Morningstar’s hybrid work environment gives you the opportunity to collaborate in‑person each week as we’ve found that we’re at our best when we’re purposely together on a regular basis. In most of our locations, our hybrid work model is four days in‑office each week. A range of other benefits are also available to enhance flexibility as needs change. No matter where you are, you’ll have tools and resources to engage meaningfully with your global colleagues.

Company Overview

Morningstar DBRS is a leading provider of independent credit rating services and opinions for corporate and sovereign entities, financial institutions, and project and structured finance instruments globally. We are one of the top four credit rating agencies in the world and a market leader in Canada, the U.S., and Europe in multiple asset classes.

EEO Statement

Morningstar is strongly committed to creating and preserving equal opportunity for all employees and applicants. We make all employment decisions—including recruitment, hiring, compensation, training, promotion, transfer, discipline, termination, and other personnel matters—without regard to race, color, ancestry, religion, sex, national origin, age, disability, protected veteran status, marital status, sexual orientation, genetic information, citizenship, gender identity and expression, parental status, or other legally protected characteristics or conduct.