Credit Risk Researcher, Gauntlet

• 3–6 years in credit risk, structured finance, leveraged finance, or asset-backed lending at a leading financial institution, credit fund, or fintech lender
• Direct credit-underwriting experience: PD/LGD modeling, loss-curve and vintage analysis, advance-rate structuring, covenant design, and stress testing
• Hands-on exposure to one or more of: direct lending, warehouse facilities, ABS/CLO structuring, securitization, asset-backed finance, or structured credit
• Strong grasp of legal/structural credit concepts: SPV formation, bankruptcy remoteness, security-interest perfection, covenant packages, and waterfall mechanics
• Portfolio-monitoring experience: delinquency tracking, covenant compliance, borrower financial review, and early-warning systems
• Exceptional written and verbal communication - able to distill complex credit analysis into clear, actionable recommendations for non-credit stakeholders
• Experience building or maintaining quantitative risk models in Python or R

Desirable

• The Credit Risk team runs due diligence on the assets, protocols, and chains supported by Gauntlet's lending and vault products, sets the guardrails that govern our lending activity, and monitors credit assets both off-chain and on-chain
• You will work the full credit lifecycle - initial diligence and deal structuring through ongoing portfolio surveillance - across direct lending, structured facilities, and on-chain/off-chain securitization
• You own the risk models, the parameters, and the monitoring cadence
• You partner with Capital Markets on structuring and with Product and Engineering to embed credit controls directly into our on-chain infrastructure
• Underwrite institutional and on-chain credit relationships, and build/own the credit models for RWA assets — PD/LGD frameworks, vintage loss curves, advance-rate haircut schedules, and stress scenarios
• Run the due-diligence gate for new credit and asset-issuer relationships: structured protocol reviews (solvency, oracle infrastructure, governance, security posture), historical on-chain data analysis, counterparty financials and legal structure, redlines, and final deal approval
• Set the guardrails for each credit product: minimum rate floors, maximum terms, concentration limits per borrower and asset class, eligible collateral, and first-loss buffer sizing for tranched structures
• Partner with Capital Markets on structuring: credit input on term sheets (rate, term, size, collateral, covenants, margin-call triggers); co-design trust tranches, covenants, advance-rate schedules, and facility limits for securitized products before close
• Monitor the portfolio: borrower financial condition, covenant compliance, delinquency trends, and NAV integrity; flag deterioration early and work remediation or exit with Capital Markets
• Stress the book: elevated delinquency, funding-rate shocks, correlated default, and originator failure — validating that structural protections hold under tail conditions
• Maintain on-chain risk parameters: supply caps, LLTV settings, exposure thresholds, and related controls
• Shape credit terms guidance (what we can offer, at what rate, term, and collateral conditions) and track emerging yield strategies, protocols, and issuers to give Curation a competitive edge
• What success looks like
• First 30 days. Ramp on Gauntlet's vault infrastructure, especially on-chain credit structures. Meet stakeholders across Capital Markets, Strategy & Growth, Product, and Engineering, review the current book and pipeline, and form a clear view of the existing DD framework - including its gaps in coverage, model depth, or monitoring cadence
• First 3 months. Operating as the credit-risk owner across active and incoming deal flow: running your own models on the live pipeline (PD/LGD, stress scenarios), producing structured DD memos and go/no-go recommendations for Capital Markets and Vault Curation, and established as the Credit Risk point of contact on at least one active credit product with monitoring cadence and escalation protocols in place
• In 1 year. Reviewed and closed multiple institutional credit relationships across at least two product types. Running a portfolio-monitoring function with consistent cadence (covenant tracking, delinquency surveillance, stress refresh, parameter maintenance). Recognized internally as the authority on Gauntlet's credit standards, with reusable DD playbooks and risk-parameter frameworks that compress future deal cycles for Credit Risk and Capital Markets