We are looking for someone capable of independently assessing the likelihood that a specific instrument or investment product will suffer loss.

This requires analysing, on a deal-specific and structural basis:

• Structural protections
• Subordination mechanics
• Collateral quality and diversification
• Cash flow waterfall
• Legal isolation / bankruptcy remoteness
• Covenants and trigger mechanisms
• Recovery assumptions under stress scenarios

Examples of relevant investment products include:

• NAV facilities
• CLO tranches
• Asset-backed notes
• Rated feeder notes

The successful candidate would join the risk-scoring team and work closely with the Structuring team, while maintaining clear risk independence.

The responsibilities would include:

• Assessing and clearly articulating to the Structuring team the likelihood of loss and structural vulnerabilities of certain investment products
• Participating, in coordination with the Investment team, in discussions with Credit Rating Agencies where required, from a risk and methodology standpoint
• Contributing to the development and enhancement of our internal credit risk scoring and rating models (as bandwidth allows)

The ideal candidate:

• Has strong modelling experience (cash flow / stress / structural modelling)
• Has experience in internal ratings advisory or structured credit risk
• Understands rating agency methodologies and ideally has sat on rating committees
• Has direct exposure to structured products such as NAV facilities or similar asset-backed structures
• Is comfortable challenging structuring assumptions
• Has a governance mindset rather than an optimisation mindset

Relevant backgrounds could include:

• Structured product coverage teams at Rating Agencies
• Rating advisory or structured credit teams at banks
• Fund finance / NAV lending credit risk teams at banks with strong franchises