KKR US | VP, Credit Risk Modeling

Responsibilities

• 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.
• Massachusetts Applicants: It is unlawful in Massachusetts to require or administer a lie detector test as a condition of employment or continued employment.
• 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.
• 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.
• 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

Requirements

• Deep expertise in portfolio credit risk frameworks — transition matrices, Monte Carlo simulation, correlated default modeling, and tail risk measurement.
• Strong written communication for technical and executive audiences.
• Insurance regulatory capital experience (Bermuda, Solvency II, or NAIC RBC).
• Actual salaries may vary based on factors, such as skill, experience, and qualification for the role.
• Experience calibrating and validating credit models.

KKR US

KKR US is an employer hiring in India (sector: BFSI / Investments / Insurance).

Its finance, accounts, audit and tax openings in India are mostly in Boston, New York and Dallas.

• Industry: BFSI / Investments / Insurance