- Any tech company where the Stats/ML model is one of THE products and differentiators. You'll need to cut through a lot of buzz word and sales-speak to find the good ones.
- Banks and other financial institutions where making uneducated guess is a big no-no when it comes risk, pricing and anything related to financial products. Your example of Credit Risk Modeling is a classic example and very interesting problem.
- As much as consultancy gets a bad rep due to some shady practice from big players, there exists a solid demand for professionals that know Statistics in the Large Construction Projects space. Let's say modeling demand and return financial for a project, proving environmental impact, preparing/implementing/analyzing unbiased surveys in the area, and so on.
- Government agencies where data is one of the Key Outputs. Such as the Census, Bureau of Labor Statistics, CDC, and so many others.
As you said, sometimes it will mean a pay cut, especially if you want to remain in the technical work and not deal with the business and managerial side of things. But there's solid demand.