Hiring: VP, Credit Risk Modeling Company: KKR Location: New York, NY Job Posted Time: 2026-09-10 11:51:36 Target Skills & Keywords : Capital Markets, Python About the job Experience: •12 years in credit risk modeling, quantitative finance, or insurance capital modeling. Required Skills: •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 •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. Qualifications: •Insurance regulatory capital experience (Bermuda, Solvency II, or NAIC RBC). •Structured credit modeling (CLO engines, CMBS/RMBS loss models). •This is the expected annual base salary range for this New York-based position. Actual salaries may vary based on factors, such as skill, experience, and qualification for the role. Employees may be eligible for a discretionary bonus, based on factors such as individual and team performance. Base Salary Range - $160,000 to $175,000 Compensation: •$160,000 - $175,000 / year •KKR sponsors investment funds that invest in private equity, credit and real assets and has strategic partners that manage hedge funds Interested candidates, please apply directly through the job posting on company's career page or try via AI auto apply on this platform. Don't miss this opportunity to join a forward-thinking team!