VP, Credit Risk Modeling

KKR; New York (NY); On-site; USD 160,000 - 175,000; Full time

Job summary

KKR is seeking a Vice President to lead credit risk modeling. This role will build models that quantify exposure and strengthen the firm's risk framework. Candidates should have 8-12 years of experience in credit risk modeling, strong Python skills, and the ability to clearly communicate complex concepts. Joining KKR means contributing to a dynamic team at a leading global investment firm in New York.

The expected annual salary range for this position is $160,000 to $175,000, reflecting KKR's commitment to competitive compensation.

Qualifications

• 8–12 years in credit risk modeling, quantitative finance, or insurance capital modeling.
• Deep expertise in portfolio credit risk frameworks and tail risk measurement.
• Strong written communication for technical and executive audiences.

Responsibilities

• Build and own portfolio credit risk models to quantify tail losses.
• Develop credit risk frameworks and calibrate transition matrices.
• Build production-quality Python pipelines for model execution.

Skills

Credit risk modeling

Quantitative finance

Production-quality Python skills

Technical communication

AI tools usage

Job description

Company Overview

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 sponsors investment funds that invest in private equity, credit and real assets and has strategic partners that manage hedge funds. KKR’s insurance subsidiaries offer retirement, life and reinsurance products under the management of Global Atlantic Financial Group. References to KKR’s investments may include the activities of its sponsored funds and insurance subsidiaries.

The Opportunity

Global Atlantic, a KKR company, is one of the largest insurance and reinsurance platforms in Bermuda, managing over $110 billion across multiple entities. As the portfolio grows in scale and complexity — spanning structured credit, mortgage loans, corporate bonds, and alternative assets — we are investing in a dedicated credit modeling capability to help the firm understand and quantify tail credit risk across the full investment book. This VP role will lead the development of models that measure portfolio‑level default and downgrade exposure, inform capital allocation, and strengthen our risk framework.

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.

Qualifications Required

• 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.
• Comprehensive user of AI tools.

Preferred

• Insurance regulatory capital experience (Bermuda, Solvency II, or NAIC RBC).
• Structured credit modeling (CLO engines, CMBS/RMBS loss models).

Expected annual base salary range for this New York‑based position: $160,000 to $175,000.

KKR is an equal opportunity employer. Individuals seeking employment are considered without regard to race, color, religion, national origin, age, sex, marital status, ancestry, physical or mental disability, veteran status, sexual orientation, or any other category protected by applicable law. KKR will provide reasonable accommodations as required by applicable federal, state, and/or local laws. Individuals seeking an accommodation for the application or interview process should email [e-mail]. If you are a qualified individual with a disability or a disabled veteran, you may request a reasonable accommodation if you are unable or limited in your ability to use or access https://www.kkr.com/careers because of your disability. Only emails left for this purpose will be returned.

Massachusetts Applicants: It is unlawful in Massachusetts to require or administer a lie detector test as a condition of employment or continued employment. An employer who violates this law shall be subject to criminal penalties and civil liability. This notice applies only to applicants and employees who work or will work in Massachusetts, in accordance with applicable state law.